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| DOI | 10.3390/fractalfract8020117 |
| Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective | |
| 发表日期 | 2024 |
| EISSN | 2504-3110 |
| 起始页码 | 8 |
| 结束页码 | 2 |
| 卷号 | 8期号:2 |
| 英文摘要 | Green bonds represent a compelling financial innovation that presents a financial perspective solution to address climate change and promote sustainable development. On the other hand, the recent process of financialisation of commodities disrupts the dynamics of the commodity market, increasing its correlation with financial markets and raising the risks associated with commodities. In this context, understanding the dynamics of the interconnectivity between green bonds and commodity markets is crucial for risk management and portfolio diversification. This study aims to reveal the multifractal cross-correlations between green bonds and commodities by employing methods from statistical physics. We apply multifractal detrended cross-correlation analysis (MFDCCA) to both return and volatility series, demonstrating that green bonds and commodities exhibit multifractal characteristics. The analysis reveals long-range power-law cross-correlations between these two markets. Specifically, volatility cross-correlations persist across various fluctuations, while return series display persistence in small fluctuations and antipersistence in large fluctuations. These findings carry significant practical implications for hedging and risk diversification purposes. |
| 英文关键词 | multifractal detrended cross-correlation analysis; nonlinear dynamics; complex structures; fractal market hypothesis; green bonds |
| 语种 | 英语 |
| WOS研究方向 | Mathematics |
| WOS类目 | Mathematics, Interdisciplinary Applications |
| WOS记录号 | WOS:001172116300001 |
| 来源期刊 | FRACTAL AND FRACTIONAL
 |
| 文献类型 | 期刊论文 |
| 条目标识符 | http://gcip.llas.ac.cn/handle/2XKMVOVA/293312 |
| 作者单位 | Baskent University; Baskent University |
| 推荐引用方式 GB/T 7714 | . Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective[J],2024,8(2). |
| APA | (2024).Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective.FRACTAL AND FRACTIONAL,8(2). |
| MLA | "Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective".FRACTAL AND FRACTIONAL 8.2(2024). |
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