能源经济与管理研究中心
 首页  中心简介  研究团队  最新成果  科研项目  政策建议  新站点 

 最新成果 

 
 
  最新成果  
当前位置: 首页>>最新成果>>最新成果>>正文
 
SCI论文 Multifractal Detrended Cross-Correlation Analysis of Electricity and Carbon Markets in China
2019-06-21 18:57 邹绍辉、张甜 

With the development of carbon market, the complex dynamic relationship between electricity and carbon market has become the focus of energy research area. In this paper, we applied a new developed multifractal detrended cross-correlation analysis method to investigate the cross-correlation and multifractality between electricity and carbon markets. We analyze the daily return of electricity and carbon prices over a period of 6 years to do the research. The results show that, firstly, we find that there is a strong negative correlation between domestic carbon price and electricity price and a significant cross-correlation between the return series of electricity and carbon markets. Secondly, through multifractal detrended fluctuation analysis, it is proven that there are obvious multifractal characteristics in the return series of electricity and carbon markets, and the results of traditional linear analysis are unreliable. We also find that, based on multifractal detrended cross-correlation analysis, the law cross-correlation between electricity and carbon markets exists significantly. The long-range correlation of small fluctuations and large fluctuations and the fat tail distribution of return series are the reasons for the formation of multifractality.

附件【9350940.pdf已下载
上一条:SCI论文 Multifractal detrended cross-correlation analysis of the relation between price and volume in European carbon futures markets
下一条:SCI论文 A new information fusion method of forecasting
关闭窗口
   

版权所有 西安科技大学能源经济与管理研究中心   陕ICP备10002064号  地址: 西安市雁塔路58号   电话:029-83858118

邮编:710054  邮箱:guanlixy@xust.edu.cn    技术支持: 硅峰网络