Multifractal Detrended Cross-Correlation Analysis of Electricity and Carbon Markets in China
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-05-14
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1198067