Matches in SemOpenAlex for { <https://semopenalex.org/work/W4308603255> ?p ?o ?g. }
- W4308603255 endingPage "25891" @default.
- W4308603255 startingPage "25873" @default.
- W4308603255 abstract "This study examines the inner dynamics of multifractality between the carbon market (EU ETS) and four major fossil fuel energy markets: Brent Crude Oil (BRN), Richards Bay Coal (RBC), UK Natural Gas (NGH2), and FTSE350 electricity index (FTSE350) from January 04, 2016, to March 04, 2022. First, we decompose the daily price changes by applying seasonal and trend decomposition using loess (STL). Then, we examine the inner dynamics of multifractality and cross-correlation by employing multifractal detrended fluctuation analysis (MFDFA) and multifractal detrended cross-correlation analysis (MFDCCA) using the remaining components of the return series. Our findings reveal that all series and the cross-correlations of carbon and fossil fuels markets have multifractal characteristics. We find crude oil to be the most efficient market (lowest multifractal), while coal is the least efficient (highest multifractal). Only coal shows persistent, whereas the other markets exhibit antipersistent behavior. Interestingly, the coal and EU ETS pair demonstrates a higher degree of multifractal patterns. In contrast, the pair of natural gas and EU ETS exhibits the lowest multifractal characteristics among the energy markets. Only the crude oil market shows persistent cross-correlations in the multifractality. These findings have important academic and managerial implications for investors and policymakers." @default.
- W4308603255 created "2022-11-13" @default.
- W4308603255 creator A5023228853 @default.
- W4308603255 creator A5025140456 @default.
- W4308603255 creator A5040398385 @default.
- W4308603255 creator A5071559180 @default.
- W4308603255 creator A5078933451 @default.
- W4308603255 date "2022-11-09" @default.
- W4308603255 modified "2023-09-27" @default.
- W4308603255 title "On the inner dynamics between Fossil fuels and the carbon market: a combination of seasonal-trend decomposition and multifractal cross-correlation analysis" @default.
- W4308603255 cites W1484683748 @default.
- W4308603255 cites W1499990727 @default.
- W4308603255 cites W1573540347 @default.
- W4308603255 cites W1594021427 @default.
- W4308603255 cites W1755762850 @default.
- W4308603255 cites W1864527572 @default.
- W4308603255 cites W1940768431 @default.
- W4308603255 cites W1969811352 @default.
- W4308603255 cites W1975315492 @default.
- W4308603255 cites W1984245631 @default.
- W4308603255 cites W1990085418 @default.
- W4308603255 cites W2000774474 @default.
- W4308603255 cites W2004567286 @default.
- W4308603255 cites W2005615579 @default.
- W4308603255 cites W2007825235 @default.
- W4308603255 cites W2008128334 @default.
- W4308603255 cites W2015390758 @default.
- W4308603255 cites W2015964417 @default.
- W4308603255 cites W2017821362 @default.
- W4308603255 cites W2018049097 @default.
- W4308603255 cites W2022897712 @default.
- W4308603255 cites W2027971832 @default.
- W4308603255 cites W2030058710 @default.
- W4308603255 cites W2031287750 @default.
- W4308603255 cites W2042397562 @default.
- W4308603255 cites W2044586796 @default.
- W4308603255 cites W2049359114 @default.
- W4308603255 cites W2050238052 @default.
- W4308603255 cites W2054674045 @default.
- W4308603255 cites W2067184061 @default.
- W4308603255 cites W2067285582 @default.
- W4308603255 cites W2071602085 @default.
- W4308603255 cites W2071721206 @default.
- W4308603255 cites W2075430900 @default.
- W4308603255 cites W2076254809 @default.
- W4308603255 cites W2076443537 @default.
- W4308603255 cites W2076455487 @default.
- W4308603255 cites W2081498609 @default.
- W4308603255 cites W2082998777 @default.
- W4308603255 cites W2083411461 @default.
- W4308603255 cites W2087829439 @default.
- W4308603255 cites W2089409887 @default.
- W4308603255 cites W2089856083 @default.
- W4308603255 cites W2090831606 @default.
- W4308603255 cites W2093280586 @default.
- W4308603255 cites W2110925398 @default.
- W4308603255 cites W2113687945 @default.
- W4308603255 cites W2125072949 @default.
- W4308603255 cites W2142752097 @default.
- W4308603255 cites W2145500502 @default.
- W4308603255 cites W2246322359 @default.
- W4308603255 cites W2265008683 @default.
- W4308603255 cites W2296605199 @default.
- W4308603255 cites W2326489375 @default.
- W4308603255 cites W2341760625 @default.
- W4308603255 cites W2491934082 @default.
- W4308603255 cites W2571085874 @default.
- W4308603255 cites W2737605823 @default.
- W4308603255 cites W2748821716 @default.
- W4308603255 cites W2757208191 @default.
- W4308603255 cites W2763065660 @default.
- W4308603255 cites W2767922044 @default.
- W4308603255 cites W2770709930 @default.
- W4308603255 cites W2772434798 @default.
- W4308603255 cites W2790531308 @default.
- W4308603255 cites W2791154478 @default.
- W4308603255 cites W2884662657 @default.
- W4308603255 cites W2895867226 @default.
- W4308603255 cites W2900199487 @default.
- W4308603255 cites W2900794547 @default.
- W4308603255 cites W2904370824 @default.
- W4308603255 cites W2915841000 @default.
- W4308603255 cites W2921782234 @default.
- W4308603255 cites W29297595 @default.
- W4308603255 cites W2973185703 @default.
- W4308603255 cites W2998776350 @default.
- W4308603255 cites W3004983723 @default.
- W4308603255 cites W3022427395 @default.
- W4308603255 cites W3022816086 @default.
- W4308603255 cites W3048693785 @default.
- W4308603255 cites W3048924595 @default.
- W4308603255 cites W3093850659 @default.
- W4308603255 cites W3098370863 @default.
- W4308603255 cites W3098606786 @default.
- W4308603255 cites W3101912922 @default.
- W4308603255 cites W3110403127 @default.
- W4308603255 cites W3121960989 @default.
- W4308603255 cites W3123523811 @default.