Cross-Correlations between Energy and Emissions Markets : New Evidence from Fractal and Multifractal Analysis
Joint Authors
Wang, Gang-Jin
Chen, Shou
Xie, Chi
Han, Feng
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-01-09
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-453757