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

2025-06-28Research article Open access
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datacite.subject.fosCiências Sociais
datacite.subject.sdg04:Educação de Qualidade
datacite.subject.sdg01:Erradicar a Pobreza
dc.contributor.authorEder J. A. L. Pereiraen_US
dc.contributor.authorLetícia S. Anjosen_US
dc.contributor.authorPaulo Ferreiraen_US
dc.contributor.authorDerick D. Quintinoen_US
dc.contributor.authorDora Almeidaen_US
dc.date.accessioned2025-12-12T12:47:03Z
dc.date.available2025-12-12T12:47:03Z
dc.date.issued2025-06-28en_US
dc.date.updated2025-12-05T21:13:05Z
dc.description.abstractThis 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.eng
dc.description.versionN/A
dc.identifier.citationEder 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
dc.identifier.doi10.1142/S0219477525500531en_US
dc.identifier.slugcv-prod-4538376
dc.identifier.urihttp://hdl.handle.net/10400.26/60355
dc.language.isoeng
dc.peerreviewedyes
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectcross-correlation
dc.subjectgreen bonds
dc.titleDynamic Cross-Correlation Between BRICS Markets, Commodities and Green Bondsen_US
dc.typeresearch articleen_US
dspace.entity.typePublication
oaire.citation.titleFluctuation and Noise Lettersen_US
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
rcaap.cv.cienciaidB513-B46A-E5F3 | Paulo Jorge Silveira Ferreira
rcaap.rightsclosedAccessen_US

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