Green cryptocurrencies versus sustainable investments dynamics: Exploration of multifractal multiscale analysis, multifractal detrended cross-correlations and nonlinear Granger causality
- Vogl, M; Kojic, M
- 2024
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【Author】 Vogl, Markus; Kojic, Milena
【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
【影响因子】3.778
【Abstract】Within this study, we analyse green cryptocurrencies versus sustainable investments dynamics by calculating a multifractal multiscale analysis (MMA) with Hurst surfaces paired with powerlaw distributional coherence tests for each series. Next, we determine multifractal cross-correlations by applying a maximal overlap discrete wavelet transform (MODWT) based trend-filtered variation of a multifractal detrended cross-correlation analysis (MF-DCCA). Finally, to determine the strength and directionality of potential causations, we determine the results of a nonlinear Granger causality test. The results for the MMA state q-dependent unstable multifractality for each series. The coherence tests indicate that the series follow powerlaws or exponentially nested powerlaws and yield fat-tails in some cases. Moreover, we find strong scaling and multifractal cross-correlations between the cryptocurrencies and the sustainability series. Finally, the nonlinear Granger causality tests across four lags indicate a complex interplay between some of the selected cryptocurrencies and various indices. These results suggest the existence of potential predictive powers of these cryptocurrencies on the market indices.
【Keywords】(Green) cryptocurrencies; Multifractal multiscale analysis (MMA); Multifractal detrended cross-correlation anal- ysis (MF-DCCA); Nonlinear Granger causality test; Sustainable investments (ESG investments)
【发表时间】2024 1-Nov
【收录时间】2024-09-23
【文献类型】实证数据
【主题类别】
区块链治理-市场治理-数字货币
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