Percorrer por autor "Eder J. A. L. Pereira"
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- Analysis Between Green Hydrogen and Other Financial Assets: A Multi-Scale Correlation ApproachPublication . Eder J. A. L. Pereira; Letícia S. Anjos; Paulo Ferreira; Derick Quintino; Gerhard Ett; Thiago B. Murari
- Dynamic Cross-Correlation Between BRICS Markets, Commodities and Green BondsPublication . Eder J. A. L. Pereira; Letícia S. Anjos; Paulo Ferreira; Derick D. Quintino; Dora Almeida
- Dynamic Cross-Correlation Between BRICS Markets, Commodities and Green BondsPublication . Eder J. A. L. Pereira; Letícia S. Anjos; Paulo Ferreira; Derick D. Quintino; Dora AlmeidaThis paper evaluated the cross-correlation between the BRICS (Brazil, Russia, India, China and South Africa) markets with commodities and green bonds. For this purpose, the detrended moving-average cross-correlation coefficient (ρDMCA) was used, based on a sliding windows approach, with data covering a sample before the COVID-19 pandemic, during the COVID-19 pandemic and after Russia invaded Ukraine. The results show a positive cross-correlation between BRICS markets and commodities and green bonds after the COVID-19 pandemic, mainly for long time scales. This result can contribute to financial risk analysis, especially regarding hedge funds.