Dollar's Influence on Crude Oil and Gold Based on MF-DPCCA Method. (30th June 2021)

• Record Type: Journal Article
• Authors: Ding, Zhonghui; Shi, Kai; Wang, Bin
• Other Names: Borondo Florentino Academic Editor.
• Is Part Of: Discrete dynamics in nature and society. Volume 2021(2021)
• Publication Date: 2021-06-30
• Subjects: System analysis -- Periodicals; Dynamics -- Periodicals; Chaotic behavior in systems -- Periodicals; Differentiable dynamical systems -- Periodicals; 003.05
• DOI: 10.1155/2021/5558967
• Languages: English
• ISSNs: 1026-0226

Abstract

Abstract : This paper analyzed the influence of dollar on crude oil and gold based on the multifractal detrended partial cross-correlation analysis method. It showed that affected by the dollar, the crude oil and gold markets have a partial cross-correlation relationship which is stronger than their own cross-correlation. The partial cross-correlation is long-term and has multifractal characteristics. Through shuffled and Fourier-phase randomization, it is found that this multifractal feature is caused by the combined effect of the long-term cross-correlation between the returns and the fluctuation fat-tailed distribution, where the influence of the fat-tailed distribution is slightly greater than that of the long-term cross-correlation between the returns.