Cross-Correlations between Energy and Emissions Markets: New Evidence from Fractal and Multifractal Analysis

<table>Time-varying cross-correlation scaling exponents <svg height="12.4375" id="M344" style="vertical-align:-0.1638pt" version="1.1" viewbox="0 0 9.5124998 12.4375" width="9.5124998" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,12.162)"><path d="M529 97q-70 -109 -136 -109q-41 0 -56 94q-23 144 -37 284q-38 -88 -99 -202.5t-93 -156.5q-26 -8 -76 -19l-9 21q71 78 145.5 193t124.5 232q-5 84 -15 128q-12 55 -29.5 75.5t-42.5 20.5q-21 0 -45 -13l-8 24q16 17 46 30t55 13q43 0 70 -46.5t40 -169.5
q27 -249 51 -392q7 -46 23 -46q24 0 70 60z" id="x1D706"></path></g>
</svg> for Gas-<svg height="15.5125" id="M345" style="vertical-align:-3.276pt" version="1.1" viewbox="0 0 30.575001 15.5125" width="30.575001" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.363)"><path d="M614 175l29 -10q-33 -109 -57 -154q-121 -26 -184 -26q-90 0 -160.5 29t-112.5 77t-63.5 105.5t-21.5 119.5q0 157 108 253t277 96q36 0 71.5 -5t69 -13.5t36.5 -8.5q15 -102 20 -150l-29 -8q-20 79 -66.5 114t-128.5 35q-119 0 -187.5 -86t-68.5 -207
q0 -140 73.5 -227.5t188.5 -87.5q73 0 119.5 37.5t86.5 116.5z" id="x43"></path></g><g transform="matrix(.017,-0,0,-.017,11.469,11.363)"><path d="M381 665q131 0 226.5 -93t95.5 -239q0 -158 -96 -253t-238 -95q-137 0 -231 95t-94 238q0 142 92.5 244.5t244.5 102.5zM359 629q-89 0 -151 -74.5t-62 -208.5q0 -141 69 -233t175 -92q90 0 150.5 74t60.5 211q0 152 -69 237.5t-173 85.5z" id="x4F"></path></g>
<g transform="matrix(.012,-0,0,-.012,24.188,15.45)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g>
</svg>. The window size is set to 1000 trading days.</table>

Mathematical Problems in Engineering

fig15

Figure 15

Figure 15: Cross-Correlations between Energy and Emissions Markets: New Evidence from Fractal and Multifractal Analysis 