Multifractal cross-correlation analysis between carbon spot and futures markets considering asymmetric conduction effect
DOI10.1142/S0218348X21501760zbMATH Open1482.91208OpenAlexW3161493474MaRDI QIDQ5025317FDOQ5025317
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
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- scientific article; zbMATH DE number 7295824
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)
Cites Work
- Multifractal detrended fluctuation analysis of nonstationary time series
- The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
- Trend filtering via empirical mode decompositions
- A Review of Some Modern Approaches to the Problem of Trend Extraction
- Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Title not available (Why is that?)
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