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Application of Multifractal Analysis in Estimating the Reaction of Energy Markets to Geopolitical Acts and Threats

2022-05-11Journal article Open access
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dc.contributor.authorAslam, Faheem
dc.contributor.authorFerreira, Paulo
dc.contributor.authorAli, Haider
dc.contributor.authorErcília José, Ana
dc.date.accessioned2025-01-15T12:42:12Z
dc.date.available2025-01-15T12:42:12Z
dc.date.issued2022-05-11
dc.date.updated2023-02-20T11:37:46Z
dc.description.abstractSince the industrial revolution, the geopolitics of energy has been a driver of global prosperity and security, and determines the survival of life on our planet. This study examines the nonlinear structure and multifractal behavior of the cross-correlation between geopolitical risk and energy markets (West Texas Intermediate (WTI), Brent, natural gas and heating oil), using the multifractal detrended cross-correlation analysis. Furthermore, an in-depth analysis reveals different associations of the indices of overall geopolitical risk, geopolitical acts, and geopolitical threats against the four energy products. Based on daily data ranging from 1 January 1985 to 30 August 2021, the findings confirm the presence of nonlinear dependencies, suggesting that geopolitical risk and energy markets are interlinked. Furthermore, significant multifractal characteristics are found and the degree of multifractality is stronger between the overall geopolitical risk and WTI while the lowest degree of multifractality is with Brent. Overall, for the WTI and heating-oil markets, the influence of geopolitical threats is more pronounced rather than their fulfilment. Contrarily, the Brent and natural gas are more correlated to geopolitical acts. Energy products exhibit heterogeneous persistence levels of cross-correlation with all the indicators of geopolitical risk, being more persistent in the case of small fluctuations compared to large fluctuations.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.3390/su14105828pt_PT
dc.identifier.slugcv-prod-3024650
dc.identifier.urihttp://hdl.handle.net/10400.26/53843
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPIpt_PT
dc.subjectgeopolitical riskpt_PT
dc.subjectacts and threatspt_PT
dc.subjectenergy marketspt_PT
dc.subjectcrude oilpt_PT
dc.subjectnatural gaspt_PT
dc.subjectheating oilpt_PT
dc.subjectmultifractal detrended cross-correlation analysispt_PT
dc.titleApplication of Multifractal Analysis in Estimating the Reaction of Energy Markets to Geopolitical Acts and Threatspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/Concurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017%2F2018) - Financiamento Base/UIDB%2F05064%2F2020/PT
oaire.citation.endPage5828pt_PT
oaire.citation.issue10pt_PT
oaire.citation.startPage5828pt_PT
oaire.citation.titleSustainabilitypt_PT
oaire.citation.volume14pt_PT
oaire.fundingStreamConcurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017/2018) - Financiamento Base
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.cv.cienciaidB513-B46A-E5F3 | Paulo Jorge Silveira Ferreira
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isProjectOfPublication0cd5c3a9-59a4-47a4-a519-49e2c2c24fcd
relation.isProjectOfPublication.latestForDiscovery0cd5c3a9-59a4-47a4-a519-49e2c2c24fcd

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