Cross-Correlations between Energy and Emissions Markets : New Evidence from Fractal and Multifractal Analysis
المؤلفون المشاركون
Wang, Gang-Jin
Chen, Shou
Xie, Chi
Han, Feng
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2014، العدد 2014 (31 ديسمبر/كانون الأول 2014)، ص ص. 1-13، 13ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2014-01-09
دولة النشر
مصر
عدد الصفحات
13
التخصصات الرئيسية
الملخص EN
We supply a new perspective to describe and understand the behavior of cross-correlations between energy and emissions markets.
Namely, we investigate cross-correlations between oil and gas (Oil-Gas), oil and CO2 (Oil-CO2), and gas and CO2 (Gas-CO2) based on fractal and multifractal analysis.
We focus our study on returns of the oil, gas, and CO2 during the period of April 22, 2005–April 30, 2013.
In the empirical analysis, by using the detrended cross-correlation analysis (DCCA) method, we find that cross-correlations for Oil-Gas, Oil-CO2, and Gas-CO2 obey a power-law and are weakly persistent.
Then, we adopt the method of DCCA cross-correlation coefficient to quantify cross-correlations between energy and emissions markets.
The results show that their cross-correlations are diverse at different time scales.
Next, based on the multifractal DCCA method, we find that cross-correlated markets have the nonlinear and multifractal nature and that the multifractality strength for three cross-correlated markets is arranged in the order of Gas-CO2 > Oil-Gas > Oil-CO2.
Finally, by employing the rolling windows method, which can be used to investigate time-varying cross-correlation scaling exponents, we analyze short-term and long-term market dynamics and find that the recent global financial crisis has a notable influence on short-term and long-term market dynamics.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Wang, Gang-Jin& Xie, Chi& Chen, Shou& Han, Feng. 2014. Cross-Correlations between Energy and Emissions Markets : New Evidence from Fractal and Multifractal Analysis. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-453757
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Wang, Gang-Jin…[et al.]. Cross-Correlations between Energy and Emissions Markets : New Evidence from Fractal and Multifractal Analysis. Mathematical Problems in Engineering No. 2014 (2014), pp.1-13.
https://search.emarefa.net/detail/BIM-453757
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Wang, Gang-Jin& Xie, Chi& Chen, Shou& Han, Feng. Cross-Correlations between Energy and Emissions Markets : New Evidence from Fractal and Multifractal Analysis. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-453757
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-453757
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
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