Multiscale Nonlinearity in Energy Commodities and Bond Markets: MFDCCA via MODWT and Granger Causality

Multiscale Nonlinearity in Energy Commodities and Bond Markets: MFDCCA via MODWT and Granger Causality | Authorea try { document.documentElement.classList.add('js'); } catch (e) { } var _gaq = _gaq || []; _gaq.push(['_setAccount', 'G-8VDV14Y67G']); _gaq.push(['_trackPageview']); (function() { var ga = document.createElement('script'); ga.type = 'text/javascript'; ga.async = true; ga.src = ('https:' == document.location.protocol ? 'https://ssl' : 'http://www') + '.google-analytics.com/ga.js'; var s = document.getElementsByTagName('script')[0]; s.parentNode.insertBefore(ga, s); })(); Skip to main content Preprints Collections Wiley Open Research IET Open Research Ecological Society of Japan All Collections About About Authorea FAQs Contact Us Quick Search anywhere Search for preprint articles, keywords, etc. Search Search ADVANCED SEARCH SCROLL This is a preprint and has not been peer reviewed. Data may be preliminary. 7 January 2025 V1 Latest version Share on Multiscale Nonlinearity in Energy Commodities and Bond Markets: MFDCCA via MODWT and Granger Causality Authors : Milena Kojić , Petar Mitić , and Fernando Henrique Antunes de Araujo 0000-0001-5417-0513 [email protected] Authors Info & Affiliations https://doi.org/10.22541/au.173627405.56592929/v1 Published Fractals Version of record Peer review timeline 295 views 204 downloads Contents Abstract Supplementary Material Information & Authors Metrics & Citations View Options References Figures Tables Media Share Abstract In this study, we examine the multifractal characteristics and nonlinear interactions between the major energy commodities (crude oil, natural gas, heating oil) and the traditional and green bond markets. Using Multifractal Detrended Cross-Correlation Analysis (MFDCCA) in conjunction with the Maximum Overlap Discrete Wavelet Transform (MODWT) and nonlinear Granger causality tests, we discover complex dynamics and potential causality within these markets. The results of the study show strong multifractal cross-correlations between green bonds and traditional bonds with energy commodities. Green bonds are found to have a more pronounced multifractal nature compared to traditional bonds, suggesting different market dynamics in response to energy commodity price changes. This strategy advances the understanding of market movements and provides insights for risk mitigation and formulating investment plans. Our findings offer novel insights for investors, policymakers, and academics, highlighting the intricate relationships that exist between energy commodities and financial markets, with implications for portfolio diversification, risk management, and sustainable finance strategies. Supplementary Material File (energy commodities and bond markets.pdf) Download 669.59 KB Information & Authors Information Version history V1 Version 1 07 January 2025 Peer review timeline Published Fractals Version of Record 28 Feb 2025 Published Copyright This work is licensed under a Creative Commons Attribution 4.0 International License Keywords bond markets energy commodities multifractal analysis nonlinear dynamics sustainable finance Authors Affiliations Milena Kojić Institute of economic sciences View all articles by this author Petar Mitić Institute of economic sciences View all articles by this author Fernando Henrique Antunes de Araujo 0000-0001-5417-0513 [email protected] View all articles by this author Metrics & Citations Metrics Article Usage 295 views 204 downloads .FvxKWukQNSOunydq8rnd { width: 100px; } Citations Download citation Milena Kojić, Petar Mitić, Fernando Henrique Antunes de Araujo. Multiscale Nonlinearity in Energy Commodities and Bond Markets: MFDCCA via MODWT and Granger Causality. Authorea . 07 January 2025. DOI: https://doi.org/10.22541/au.173627405.56592929/v1 If you have the appropriate software installed, you can download article citation data to the citation manager of your choice. Simply select your manager software from the list below and click Download. For more information or tips please see 'Downloading to a citation manager' in the Help menu . Format Please select one from the list RIS (ProCite, Reference Manager) EndNote BibTex Medlars RefWorks Direct import Tips for downloading citations document.getElementById('citMgrHelpLink').addEventListener('click', function() { popupHelp(this.href); return false; }); $(".js__slcInclude").on("change", function(e){ if ($(this).val() == 'refworks') $('#direct').prop("checked", false); $('#direct').prop("disabled", ($(this).val() == 'refworks')); }); Cited by Ruiguang Yao, Cross‐Correlation and Causality Analysis for Wine Quality: A Stacked Machine Learning Approach, Journal of Food Science, 90 , 6, (2025). https://doi.org/10.1111/1750-3841.70351 Crossref Loading... View Options View options PDF View PDF Figures Tables Media Share Share Share article link Copy Link Copied! Copying failed. 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