Title of article :
Multifractal detrended cross-correlation analysis of carbon and crude oil markets
Author/Authors :
Zhuang، نويسنده , , Xiaoyang and Wei، نويسنده , , Yu and Zhang، نويسنده , , Bangzheng، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Abstract :
The complex dynamics between carbon and crude oil markets have been an increasingly interesting area of research. In this paper, we try to take a fresh look at the cross-correlations between carbon and crude oil markets as well as their dynamic behavior employing multifractal detrended cross-correlation analysis. First, we find that the return series of carbon and crude oil markets are significantly cross-correlated. Second, we confirm the existence of multifractality for the return series of carbon and crude oil markets by the multifractal detrended fluctuation analysis. Third, based on the multifractal detrended cross-correlation analysis, we find the existence of power-law cross-correlations between carbon and crude oil markets. The cross-correlated behavior of small fluctuations is found to be more persistent than that of large fluctuations. At last, some relevant discussions and implications of the empirical results are presented.
Keywords :
Multifractal detrended cross-correlation analysis , Carbon market , Crude oil markets
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications