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Multifractal Detrended Cross-Correlation Analysis of the Spot Markets of the Brent Crude Oil and the US Dollar Index

Jing Zhang, Hong-Yong Wang


In this paper we choose the spot prices of Brent crude oil and US dollar indexes as the research objects to discuss their cross-correlation relationships. First we qualitatively describe the cross-correlation relationships between the return series of Brent crude oil market and US dollar indexes by using the cross-correlation test statistics and show that the two return series disobey normal distribution. Then quantitative analyses for the cross-correlations and the auto-correlations of the two return series are made by multifractal methods. It is confirmed that both the cross-correlations and the auto-correlations all have the multifractal characteristics. Finally, the causes of the multifractality is investigated and it is pointed out that both the long-range correlations and the fat-tail distributions all play important roles in the contributions of multifractality.


Brent crude oil, US dollar index, cross-correlations, multifractal analysis.

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