Dynamic price interactions in energy commodities benchmarks: Insights from multifractal analysis during crisis periods
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F25%3A10510383" target="_blank" >RIV/00216208:11230/25:10510383 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=hJvo8I8mq4" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=hJvo8I8mq4</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2024.130314" target="_blank" >10.1016/j.physa.2024.130314</a>
Alternative languages
Result language
angličtina
Original language name
Dynamic price interactions in energy commodities benchmarks: Insights from multifractal analysis during crisis periods
Original language description
This paper investigates the dynamic interrelationships between West Texas Intermediate (WTI) prices and various energy commodities including Brent crude oil futures, Brent spot prices, American diesel futures, and the Reformulated Blendstock for Oxygenate Blending, across four critical periods surrounding the Covid-19 pandemic and the Russia-Ukraine conflict. Employing the Multifractal Detrended Fluctuation Cross-Correlation Analysis (MFXDFA) methodology, the study analyzes both the static and dynamic Hurst exponents to examine the multifractal behaviors of these price relationships. Results indicate a pronounced increase in price persistence during the height of the Covid-19 pandemic, with a subsequent decrease during the Russia- Ukraine conflict, suggesting a shift toward a new price dynamic influenced by recent global crises. This research contributes to understanding the evolving dynamics in crude oil and refined products markets, shedding light on how major geopolitical and global health events can reshape market behavior and pricing structures in significant ways.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica A: Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
1873-2119
Volume of the periodical
659
Issue of the periodical within the volume
February 2025
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
13
Pages from-to
130314
UT code for WoS article
001407012000001
EID of the result in the Scopus database
2-s2.0-85214106189