Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/30647

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
PublisherElsevier
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.
TypeArticle
Description"Available online 14 July 2014"
URIhttp://hdl.handle.net/1822/30647
DOI10.1016/j.physa.2014.06.058
ISSN0378-4371
Publisher versionhttp://www.sciencedirect.com/science/article/pii/S0378437114005330#
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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