The exceedance and cross-correlations between the three major global crude oil futures markets

This paper investigates the cross-correlation properties among the three major global crude oil futures markets: Brent, WTI, and Oman. We reveal that the cross-correlations between any two crude oil futures markets exhibit significant multifractality through integrated application of cross-correlation hypothesis testing and MF-DCCA methodology. Notably, the multifractality strength in cross-correlations involving the Oman market is particularly prominent, highlighting the distinctive characteristics of the Middle Eastern crude oil market.