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

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dc.contributor.authorPereira, Eder
dc.contributor.authorAnjos, Letícia
dc.contributor.authorFerreira, Paulo
dc.contributor.authorQuintino, Derick
dc.contributor.authorAlmeida, Dora
dc.date.accessioned2025-07-07T10:09:11Z
dc.date.available2025-07-07T10:09:11Z
dc.date.embargo2026-06
dc.date.issued2025-06-28
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 (?DMCA) 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.por
dc.identifier.authoremaileder.johnson@ifma.edu.br
dc.identifier.authoremailleticiassdosanjos@gmail.com
dc.identifier.authoremailpferreira@ipportalegre.pt
dc.identifier.authoremailderickdq@alumni.usp.br
dc.identifier.authoremaildora.almeida@uevora.pt
dc.identifier.doihttps://doi.org/10.1142/S0219477525500531por
dc.identifier.urihttps://www.worldscientific.com/doi/10.1142/S0219477525500531
dc.identifier.urihttp://hdl.handle.net/10174/38943
dc.language.isoengpor
dc.peerreviewedyespor
dc.publisherWorld Scientific Connect/Fluctuation and Noise Letterspor
dc.rightsembargoedAccesspor
dc.subjectBRICSpor
dc.subjectgreen bondspor
dc.subjectcross-correlationpor
dc.titleDynamic Cross-Correlation Between BRICS Markets, Commodities and Green Bondspor
dc.typearticlepor

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