MULTIFRACTAL CROSS-CORRELATIONS RISK AMONG WTI AND FINANCIAL ASSETS

Abstract

Independent of science branch, scientists have a consensus that peoples lives are highly susceptible to risk, and effectively quantifying risk is a big challenge. This paper assesses the Multifractal Cross-Correlation Measure (MRCC) among West Texas Intermediate (WTI), seven fiat currencies and three foreign exchange rates. Therefore, we use the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) to examine the volatility dynamics considering the pairs of these financial records. We discover that all these volatility time series pairs [Formula: see text] are characterized by overall persistent behavior based on the values of [Formula: see text]. The MRCC values exhibit that the pairs WTI versus MXN [Formula: see text], WTI versus JPY [Formula: see text] and WTI versus NOK [Formula: see text] are more complex and persistent than the other pairs. Otherwise, the pairs WTI versus AUD [Formula: see text], WTI versus CAD [Formula: see text] and WTI versus EMK [Formula: see text] are less complex and persistent. Thus, our empirical findings shed light on the problem of quantification risk based on a multifractal perspective.