Dynamic Cross-Correlation Between BRICS Markets, Commodities and Green Bonds

Eder J. A. L. Pereira; Letícia S. Anjos; Paulo Ferreira; Derick D. Quintino; Dora Almeida

http://hdl.handle.net/10400.26/60355

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Autores

Eder J. A. L. Pereira

Resumo(s)

This 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.

Palavras-chave

cross-correlation green bonds

URI

http://hdl.handle.net/10400.26/60355

Citação

Eder J. A. L. Pereira, Letícia S. A., Ferreira, Derick, P. ;Quintino, D. & Almeida, D. (2025). Dynamic Cross-Correlation Between BRICS Markets, Fluctuation and Noise Letters VOL. 24, NO. 06. Commodities and Green Bonds. https://doi.org/10.1142/S0219477525500531

DOI

10.1142/S0219477525500531

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Coleção CV

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