Multifractal detrended cross-correlation analysis of carbon and crude oil markets

Xiaoyang Zhuang, Yu Wei and Bangzheng Zhang

Physica A: Statistical Mechanics and its Applications, 2014, vol. 399, issue C, 113-125

Abstract: The complex dynamics between carbon and crude oil markets have been an increasingly interesting area of research. In this paper, we try to take a fresh look at the cross-correlations between carbon and crude oil markets as well as their dynamic behavior employing multifractal detrended cross-correlation analysis. First, we find that the return series of carbon and crude oil markets are significantly cross-correlated. Second, we confirm the existence of multifractality for the return series of carbon and crude oil markets by the multifractal detrended fluctuation analysis. Third, based on the multifractal detrended cross-correlation analysis, we find the existence of power-law cross-correlations between carbon and crude oil markets. The cross-correlated behavior of small fluctuations is found to be more persistent than that of large fluctuations. At last, some relevant discussions and implications of the empirical results are presented.

Keywords: Multifractal detrended cross-correlation analysis; Carbon market; Crude oil markets (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:399:y:2014:i:c:p:113-125

DOI: 10.1016/j.physa.2013.12.048

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