Multifractal Detrended Cross-Correlation Analysis: The case of Brazilian Bioethanol time series

Abstract

We have examined the nonlinear cross-correlation between the São Paulo time series of the weekly price of Bioethanol and the other 14 Brazilian capitals’ time series of the weekly price of the same biofuel using the Multifractal Detrended Cross-Correlation Analysis (MFDCCA). We provide evidence of multifractal correlation properties across these prices. We implement our method using both prices and returns and show some divergence between results. We recommend using price time series when using MF-DCCA.