Multifractal detrended cross-correlation analysis of carbon and crude oil markets

The complex dynamics between carbon and crude oil markets have been an increasingly interesting area of research. In this paper, we try to take a fresh look at the cross-correlations between carbon and crude oil markets as well as their dynamic behavior employing multifractal detrended cross-correlation analysis. First, we find that the return series of carbon and crude oil markets are significantly cross-correlated. Second, we confirm the existence of multifractality for the return series of carbon and crude oil markets by the multifractal detrended fluctuation analysis. Third, based on the multifractal detrended cross-correlation analysis, we find the existence of power-law cross-correlations between carbon and crude oil markets. The cross-correlated behavior of small fluctuations is found to be more persistent than that of large fluctuations. At last, some relevant discussions and implications of the empirical results are presented. •We confirm the presence of cross-correlations between carbon and crude oil markets both quantitatively and qualitatively.•Based on the MF-DCCA approach, the nonlinear structure of the cross-correlations between carbon and crude oil markets is studied.•The MF-DFA method is used to investigate the multifractal behaviors of carbon markets and crude oil markets respectively.