کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7381782 | 1480174 | 2014 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multifractal detrended cross-correlation analysis of carbon and crude oil markets
ترجمه فارسی عنوان
تجزیه و تحلیل کراس-همبستگی چندفراکتال در بازارهای کربن و نفت خام
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کلمات کلیدی
تجزیه و تحلیل همبستگی متقاطع مولتی فرکتال، بازار کربن، بازار نفت خام،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 399, 1 April 2014, Pages 113-125
Journal: Physica A: Statistical Mechanics and its Applications - Volume 399, 1 April 2014, Pages 113-125
نویسندگان
Xiaoyang Zhuang, Yu Wei, Bangzheng Zhang,