Aplicación de bicorrelación cruzada al rendimiento diario del precio del café

• Autores: Semei Leopoldo Coronado Ramírez, Jesús Porras Serrano, Salvador Sandoval Bravo
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 58, Nº. 1, 2013, págs. 117-129
• Idioma: español
• DOI: 10.1016/s0186-1042(13)71200-2
• Títulos paralelos:
  • Implementation of cross bicorrelation for coffee price daily returns
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    En este trabajo se utiliza la metodología de bicorrelación cruzada, la cual permite capturar periodos de trascendencia no lineal por medio de funciones ventana y momentos de tercer orden. Esto se aplicó al retorno de cuatro series de commodities del café (arábica colombiano, suave, brasileño y otras) que cotiza en el mercado de Nueva York durante el periodo del 20 de junio de 1997 al 27 de octubre de 2010. Los resultados muestran que existe una bicorrelación entre las cuatro series, donde el líder es el café tipo brasileño y hay una menor bicorrelación en los otros, lo que complica las decisiones de los inversionistas en este tipo de series.

  • English

    This paper uses the cross bicorrelation methodology, which can capture nonlinear trascen-dence periods through window functions and third-order moments. It applies to the return of four sets of commodities of coffee traded on the New York market (Arabica Colombian, mild Arabica, Arabica Brazilian and Other Arabicas), during the 20/06/1997 - 27/10/2010 period. The results conclude that there is a cross bicorrelation among the four series, with Brazilian type coffee being the leader and a lower bicorrelation with other Arabicas. This complicates decisions for investors in such series.

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