Resumo

CORONADO RAMIREZ, Semei Leopoldo; PORRAS SERRANO, Jesús  e  SANDOVAL BRAVO, Salvador. Implementation of cross bicorrelation for coffee price daily returns. Contad. Adm [online]. 2013, vol.58, n.1, pp.117-129. ISSN 0186-1042.

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.

Palavras-chave : cross bicorrelation; commodities; coffee price return.

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