Gold and Sustainable Stocks in the US and EU: Nonlinear Analysis Based on Multifractal Detrended Cross-Correlation Analysis and Granger Causality
Journal: Fractal and Fractional
Year: 2023

Geopolitical risks and conflicts wield substantial influence on the global economy and financial markets, fostering uncertainty and volatility. This study investigates the intricate relationship between gold and representatives of green and sustainable stocks in the US and EU during the Russia-Ukraine conflict, employing multifractal detrended cross-correlation analysis (MF-DCCA) and nonlinear Granger causality. MF-DCCA reveals significant multifractal properties and nonlinear cross-correlations