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Multifractal Detrended Cross-Correlation Analysis of Electricity and Carbon Markets in China
المؤلفون المشاركون
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2019، العدد 2019 (31 ديسمبر/كانون الأول 2019)، ص ص. 1-13، 13ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2019-05-14
دولة النشر
مصر
عدد الصفحات
13
التخصصات الرئيسية
الملخص EN
With the development of carbon market, the complex dynamic relationship between electricity and carbon market has become the focus of energy research area.
In this paper, we applied a new developed multifractal detrended cross-correlation analysis method to investigate the cross-correlation and multifractality between electricity and carbon markets.
We analyze the daily return of electricity and carbon prices over a period of 6 years to do the research.
The results show that, firstly, we find that there is a strong negative correlation between domestic carbon price and electricity price and a significant cross-correlation between the return series of electricity and carbon markets.
Secondly, through multifractal detrended fluctuation analysis, it is proven that there are obvious multifractal characteristics in the return series of electricity and carbon markets, and the results of traditional linear analysis are unreliable.
We also find that, based on multifractal detrended cross-correlation analysis, the law cross-correlation between electricity and carbon markets exists significantly.
The long-range correlation of small fluctuations and large fluctuations and the fat tail distribution of return series are the reasons for the formation of multifractality.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Zou, Shaohui& Zhang, Tian. 2019. Multifractal Detrended Cross-Correlation Analysis of Electricity and Carbon Markets in China. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-13.
https://search.emarefa.net/detail/BIM-1198067
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Zou, Shaohui& Zhang, Tian. Multifractal Detrended Cross-Correlation Analysis of Electricity and Carbon Markets in China. Mathematical Problems in Engineering No. 2019 (2019), pp.1-13.
https://search.emarefa.net/detail/BIM-1198067
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Zou, Shaohui& Zhang, Tian. Multifractal Detrended Cross-Correlation Analysis of Electricity and Carbon Markets in China. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-13.
https://search.emarefa.net/detail/BIM-1198067
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1198067
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
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تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر
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