Multifractal analysis of the WTI crude oil market, US stock market and EPU

Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong

“…Moreover, with the Hurst and Rényi exponent, we find that the cross-correlation between series demonstrates solid evidence for the multifractality existence. From this point of view, our empirical findings are in line with prior economic research studies related to multifractality analysis [39][40][41][42][43][44][45]. Second, our study originated from the multifractal perspective, enabling indepth investigation for the cross-correlation dynamics between economic policy uncertainty and carbon emission trading.…”

“…ey found that with the involvements of economic policy uncertainty and the multifractal model, the forecasting accuracy for future volatility can be greatly improved. Yao et al [39] studied multifractal correlation among crude oil market, US stock market, and economic policy uncertainty. ey found that the nonlinear long-range correlation between series is persistent and strong evidence for the existence of series correlation multifractality.…”

Dollar’s Influence on Crude Oil and Gold Based on MF-DPCCA Method

“…e U.S. dollar, crude oil, and gold directly constitute the main part of the financial market, as well as the main place for policy authorities to implement financial control policies. After Wang [14] observed the effectiveness of the crude oil market by the local Hurst index through the rolling window of multifractal detrended fluctuation analysis, scholars successively compared the crude oil market with stocks [15,16], gold [17,18], foreign exchange [18,19], agricultural product futures [11,20], and other financial markets [21][22][23][24]. At the same time, Mali and Mukhopadhyay [25] used the multifractal detrended fluctuation analysis to study the correlation of the gold consumer price index and the gold market prices of the three major gold consuming countries in China, India, and Turkey and found that they all have multifractal characteristics.…”

Information Flow Analysis between EPU and Other Financial Time Series

“…Hammoudeh et al [ 18 ] investigated the impact of the US EPU on the US, European, Asian and Islamic stock markets and reported that uncertainty shocks explain an important share of changes in all four stock markets. It has been widely recognized that EPU has a significant impact on stock markets [ 19 , 20 , 21 , 22 , 23 , 24 , 25 , 26 ] and bond markets [ 27 ]. Other relevant studies have focused on the dependence between EPU and monetary policies [ 28 ], unemployment rates [ 29 ], exchange rates [ 30 ] and exchange rate expectations [ 31 ].…”