We analyze multifractality for green bonds, stock sector indices, and US economic sector bonds. Green bonds and US bonds show non-linear cross-correlations. We perform Multifractal Detrended Cross-Correlations Analysis (MF-DCCA) to analyze multifractal cross-correlations and the weak version of...

We examine the price disorder and market efficiency of five cryptocurrencies (Bitcoin, BNB, Cardano, Ethereum, and XRP) before and during COVID-19 pandemic period. Using permutation entropy and Fisher information measure (FIM), we construct the Shannon-Fisher causality plane (SFCP) to map these...

We study the jump behaviour in the sovereign risks of major oil-exporting countries and examine whether it is affected by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect the presence of jumps in many oil exporters and find...