| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 977580 | Physica A: Statistical Mechanics and its Applications | 2015 | 10 Pages |
•Investigate cross-correlations between interest rate and agricultural commodity markets.•The cross-correlations are all significant and persistent.•We find strong multifractality in both auto-correlations and cross-correlations.•The time-variation property of cross-correlations is also revealed.
In this paper, we investigate cross-correlations between interest rate and agricultural commodity markets. Based on a statistic of Podobnik et al. (2009), we find that the cross-correlations are all significant. Using the MF-DFA and MF-DXA methods, we find strong multifractality in both auto-correlations and cross-correlations. Moreover, the cross-correlations are persistent. Finally, based on the technique of rolling window, the time-variation property of cross-correlations is also revealed.
