MULTIFRACTAL CROSS-CORRELATION ANALYSIS BETWEEN CARBON SPOT AND FUTURES MARKETS CONSIDERING ASYMMETRIC CONDUCTION EFFECT

DOI10.1142/S0218348X21501760zbMATH Open1482.91208OpenAlexW3161493474MaRDI QIDQ5025317FDOQ5025317

Di Pan, Shu Hu, Dandan Zhu, Chen Zhang

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)

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?)

Cited In (1)

• Asymmetric multifractality, comparative efficiency analysis of Green finance markets: a dynamic study by index-based model

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