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TitleCarbon financial markets : a time–frequency analysis of CO₂ prices
Author(s)Sousa, Rita
Conraria, Luís Aguiar
Soares, M. J.
KeywordsCarbon prices
Financial markets
Multivariate wavelet analysis
Issue dateNov-2014
JournalPhysica A: statistical mechanics and its applications
Abstract(s)We characterize the interrelation of CO2 prices with energy prices (electricity, gas and coal), 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.
Description"Available online 14 July 2014"
Publisher version
AccessRestricted access (UMinho)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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