Multifractal cross-correlation analysis between carbon spot and futures markets considering asymmetric conduction effect

DOI10.1142/S0218348X21501760MaRDI QIDQ5025317zbMATH OpenOpenAlexFDO

Authors Dandan Zhu, Chen Zhang, Di Pan, Shu Hu

Publication date 1 February 2022

Published in Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218348x21501760

zbMATH Keywords

asymmetriccarbon spot and futures marketsEMD-MF-DCCAmultifractal cross-correlation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractals (28A80)

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Cites work

• A review of some modern approaches to the problem of trend extraction
• Analysis of mathematical model about the influence of investors' overconfidence on carbon futures price in international carbon market
• Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
• Multifractal detrended fluctuation analysis of nonstationary time series
• Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• Trend filtering via empirical mode decompositions

Cited in

(2)

• Investigation of multifractal features of the relationship between price and volume in international carbon market
• Asymmetric multifractality, comparative efficiency analysis of Green finance markets: a dynamic study by index-based model

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