Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/27957

TitleCarbon financial markets : a time-frequency analysis of CO2 price drivers
Author(s)Sousa, Rita
Conraria, Luís Aguiar
Soares, M. J.
KeywordsCarbon prices
Financial markets
Multivariate wavelet analysis
Issue date2014
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Abstract(s)We characterize the interrelation of CO2 prices with energy prices (gas and electricity), and with economic activity. Previous studies have relied on time-domain techniques, such as Vector Auto-Regressions. In this study, we use multivariate wavelet analysis, which operates in the time-frequency domain. Wavelet analysis provides convenient tools to distinguish relations at particular frequencies and at particular time horizons. Our empirical approach has the potential to identify relations getting stronger and then disappearing over specific time intervals and frequencies. We are able to examine the coherency of these variables and lead-lag relations at different frequencies for the time periods in focus.
TypeWorking paper
URIhttp://hdl.handle.net/1822/27957
Publisher versionhttp://www.nipe.eeg.uminho.pt/Uploads/NIPE_WP_03_2014.pdf
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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