Cross-correlations between energy and emissions markets: New evidence from fractal and multifractal analysis

Mathematical Problems in Engineering

Volumn 2014, Issue , 2014, Pages

  Wang, Gang Jin ^a   Xie, Chi ^a   Chen, Shou ^a   Han, Feng ^b  

^a HUNAN UNIVERSITY   (China)

^b China Merchants Bank   (China)

Author keywords

[No Author keywords available]

Indexed keywords

CROSS-CORRELATIONS; DCCA CROSS-CORRELATION COEFFICIENTS; DETRENDED CROSS-CORRELATION ANALYSIS; DIFFERENT TIME SCALE; EMPIRICAL ANALYSIS; ENERGY AND EMISSIONS; GLOBAL FINANCIAL CRISIS; MULTIFRACTAL ANALYSIS;

COMMERCE; FRACTALS; GASES;

CARBON DIOXIDE;

EID: 84893178728     PISSN: 1024123X     EISSN: 15635147     Source Type: Journal    
DOI: 10.1155/2014/197069     Document Type: Article

References (33)

1. 2 prices: An application using BEKK, CCC and DCC-MGARCH models. Applied Economics 2012 44 32 4257 4274 2-s2.0-80051977327 10.1080/00036846.2011.589809
2. Kanen J. L. M., Carbon Trading and Pricing 2006 London, UK Environmental Finance
3. Alberola E., Chevallier J., Chèze B., Price drivers and structural breaks in European carbon prices 2005-2007. Energy Policy 2008 36 2 787 797 2-s2.0-38049150796 10.1016/j.enpol.2007.10.029
4. Fezzi C., Bunn D. W., Structural interactions of European carbon trading and energy prices. The Journal of Energy Markets 2009 2 4 53 69
5. 2 prices, energy and weather. Energy Journal 2007 28 3 73 92 2-s2.0-34447568347 (Pubitemid 47073923)
6. Ham R., Ratti R. A., Yoon K. H., Oil and carbon prices: asymmetries, instability and spillovers. Proceedings of the 41st Australian Conference of Economists July 2012 Melbourne, Australia Victoria University 119
7. Kwapień J., Drożdż S., Physical approach to complex systems. Physics Reports 2012 515 3-4 115 226 10.1016/j.physrep.2012.01.007 MR2975165
8. Wen F., Li Z., Xie C., David S., Study on the fractal and chaotic features of the Shanghai composite index. Fractals 2012 20 2 133 140
9. Jiang Z.-Q., Zhou W.-X., Multifractal detrending moving-average cross-correlation analysis. Physical Review E 2011 84 1 11 2-s2.0-79961102084 10.1103/PhysRevE.84.016106 016106
10. Tabak B. M., Cajueiro D. O., Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility. Energy Economics 2007 29 1 28 36 2-s2.0-33751051562 10.1016/j.eneco.2006.06.007 (Pubitemid 44752608)
11. Alvarez-Ramirez J., Escarela-Perez R., Time-dependent correlations in electricity markets. Energy Economics 2010 32 2 269 277 2-s2.0-74149093361 10.1016/j.eneco.2009.05.008
12. Peng C.-K., Buldyrev S. V., Havlin S., Simons M., Stanley H. E., Goldberger A. L., Mosaic organization of DNA nucleotides. Physical Review E 1994 49 2 1685 1689 2-s2.0-34547856203 10.1103/PhysRevE.49.1685
13. Chen C., Wang L., Dual fractal dimension and long-range correlation of Chinese stock prices. Journal of the Physical Society of Japan 2012 81 3 6 2-s2.0-84858050448 10.1143/JPSJ.81.034801 034801
14. Kantelhardt J. W., Zschiegner S. A., Koscielny-Bunde E., Havlin S., Bunde A., Stanley H. E., Multifractal detrended fluctuation analysis of nonstationary time series. Physica A 2002 316 1-4 87 114 2-s2.0-0037114537 10.1016/S0378-4371(02)01383-3 (Pubitemid 35385237)
15. Podobnik B., Stanley H. E., Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series. Physical Review Letters 2008 100 8 4 2-s2.0-40849127187 10.1103/PhysRevLett.100.084102 084102 (Pubitemid 351393646)
16. Podobnik B., Horvatic D., Petersen A. M., Stanley H. E., Cross-correlations between volume change and price change. Proceedings of the National Academy of Sciences of the United States of America 2009 106 52 22079 22084 2-s2.0-76049101093 10.1073/pnas.0911983106
17. Wang G.-J., Xie C., Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket. Physica A 2013 392 6 1418 1428
18. Zebende G. F., DCCA cross-correlation coefficient: quantifying level of cross-correlation. Physica A 2011 390 4 614 618 2-s2.0-78650781569 10.1016/j.physa.2010.10.022
19. Wang G.-J., Xie C., Chen Y.-J., Chen S., Statistical properties of the foreign exchange network at different time scales: evidence from detrended cross-correlation coefficient and minimum spanning tree. Entropy 2013 15 5 1643 1662 10.3390/e15051643 MR3064747
20. Podobnik B., Jiang Z.-Q., Zhou W.-X., Stanley H. E., Statistical tests for power-law cross-correlated processes. Physical Review E 2011 84 6 8 2-s2.0-84855315715 10.1103/PhysRevE.84.066118 066118
21. Zhou W.-X., Multifractal detrended cross-correlation analysis for two nonstationary signals. Physical Review E 2008 77 6 4 2-s2.0-45849138178 10.1103/PhysRevE.77.066211 066211
22. Kristoufek L., Multifractal height cross-correlation analysis: a new method for analyzing long-range cross-correlations. Europhysics Letters 2011 95 6 6 2-s2.0-80053017779 10.1209/0295-5075/95/68001 68001
23. Wang Y., Wei Y., Wu C., Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil. Physica A 2011 390 5 864 875 2-s2.0-78650937808 10.1016/j.physa.2010.11.017
24. Wang G.-J., Xie C., Cross-correlations between WTI crude oil market and U.S. stock market: a perspective from econophysics. Acta Physics Polonica B 2012 43 10 2021 2036
25. Marinho E. B. S., Sousa A. M. Y. R., Andrade R. F. S., Using detrended cross-correlation analysis in geophysical data. Physica A 2013 392 9 2195 2201
26. Zhao X., Yue J., Shang P., Effect of trends on detrended fluctuation analysis of precipitation series. Mathematical Problems in Engineering 2010 2010 15 2-s2.0-77955291247 10.1155/2010/749894 749894
27. Zebende G. F., da Silva M. F., Machado Filho A., DCCA cross-correlation coefficient differentiation: theoretical and practical approaches. Physica A 2013 392 8 1756 1761 10.1016/j.physa.2013.01.011 MR3021920
28. Shadkhoo S., Jafari G. R., Multifractal detrended cross-correlation analysis of temporal and spatial seismic data. European Physical Journal B 2009 72 4 679 683 2-s2.0-72449210656 10.1140/epjb/e2009-00402-2
29. Ghosh D., Dutta S., Samanta S., Fluctuation of gold price: a multifractal approach. Acta Physica Polonica B 2012 43 6 1261 1274
30. Wen F., Yang X., Skewness of return distribution and coefficient of risk premium. Journal of Systems Science & Complexity 2009 22 3 360 371 10.1007/s11424-009-9170-x MR2538868
31. Gopikrishnan P., Meyer M., Amaral L. A. N., Stanley H. E., Inverse cubic law for the distribution of stock price variations. European Physical Journal B 1998 3 2 139 140 2-s2.0-0031635063 (Pubitemid 128437570)
32. Wang G.-J., Xie C., Cross-correlations between the CSI 300 spot and futures markets. Nonlinear Dynamics 2013 73 3 1687 1696
33. Wen F., Dai Z., Modified Yabe-Takano nonlinear conjugate gradient method. Pacific Journal of Optimization 2012 8 2 347 360 MR2954383 ZBL1266.90127