Publicação
Carbon financial markets: a time–frequency analysis of CO₂ prices
| Resumo: | 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. |
|---|---|
| Autores principais: | Sousa, Rita |
| Outros Autores: | Conraria, Luís Aguiar; Soares, M. J. |
| Assunto: | Carbon prices Financial markets Multivariate wavelet analysis Ciências Sociais::Economia e Gestão |
| Ano: | 2014 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| _version_ | 1867439559221968896 |
|---|---|
| author | Sousa, Rita |
| author2 | Conraria, Luís Aguiar Soares, M. J. |
| author2_role | author author |
| author_facet | Sousa, Rita Conraria, Luís Aguiar Soares, M. J. |
| author_role | author |
| contributor_name_str_mv | RepositóriUM - Universidade do Minho |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Sousa, Rita\"},{\"Person.name\":\"Conraria, Luís Aguiar\"},{\"Person.name\":\"Soares, M. J.\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | RepositóriUM - Universidade do Minho |
| datacite.creators.creator.creatorName.fl_str_mv | Sousa, Rita Conraria, Luís Aguiar Soares, M. J. |
| datacite.date.Accepted.fl_str_mv | 2014-11-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2014-10-29T10:41:42Z |
| datacite.date.embargoed.fl_str_mv | 2014-10-29T10:41:42Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| datacite.subjects.subject.fl_str_mv | Carbon prices Financial markets Multivariate wavelet analysis Ciências Sociais::Economia e Gestão |
| datacite.titles.title.fl_str_mv | Carbon financial markets: a time–frequency analysis of CO₂ prices |
| dc.contributor.none.fl_str_mv | RepositóriUM - Universidade do Minho |
| dc.creator.none.fl_str_mv | Sousa, Rita Conraria, Luís Aguiar Soares, M. J. |
| dc.date.Accepted.fl_str_mv | 2014-11-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2014-10-29T10:41:42Z |
| dc.date.embargoed.fl_str_mv | 2014-10-29T10:41:42Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | https://hdl.handle.net/1822/30647 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Elsevier |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| dc.subject.none.fl_str_mv | Carbon prices Financial markets Multivariate wavelet analysis Ciências Sociais::Economia e Gestão |
| dc.title.fl_str_mv | Carbon financial markets: a time–frequency analysis of CO₂ prices |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | 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. |
| dirty | 0 |
| eu_rights_str_mv | restrictedAccess |
| format | article |
| fulltext.url.fl_str_mv | https://repositorium.uminho.pt/bitstreams/9d0b599d-ef25-4c42-ac52-1ed2d5f1c070/download |
| id | rum_26a2e10e614f6671f19bbf73dfeb321e |
| identifier.url.fl_str_mv | https://hdl.handle.net/1822/30647 |
| instacron_str | repositorium |
| institution | Universidade do Minho |
| instname_str | Universidade do Minho |
| language | eng |
| network_acronym_str | rum |
| network_name_str | RepositóriUM - Universidade do Minho |
| oai_identifier_str | oai:repositorium.uminho.pt:1822/30647 |
| organization_str_mv | urn:organizationAcronym:repositorium |
| person_str_mv | Sousa, Rita Conraria, Luís Aguiar Soares, M. J. |
| publishDate | 2014 |
| publisher.none.fl_str_mv | Elsevier |
| reponame_str | RepositóriUM - Universidade do Minho |
| repository_id_str | urn:repositoryAcronym:rum |
| service_str_mv | urn:repositoryAcronym:rum |
| spelling | engElsevierporWe 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.application/pdfengCarbon financial markets: a time–frequency analysis of CO₂ pricesSousa, RitaConraria, Luís AguiarSoares, M. J.HostingInstitutionOrganizationalRepositóriUM - Universidade do Minhoe-mailmailto:repositorium@usdb.uminho.ptrepositorium@usdb.uminho.ptISSNIsPartOf0378-4371DOIIsPartOf10.1016/j.physa.2014.06.0582014-10-29T10:41:42Z2014-112014-11-01T00:00:00ZHandlehttps://hdl.handle.net/1822/30647http://purl.org/coar/access_right/c_16ecrestricted accessCarbon pricesFinancial marketsMultivariate wavelet analysishttp://www.oecd.org/science/inno/38235147.pdfFields of Science and Technology (FOS)Ciências Sociais::Economia e Gestão580036 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal articlehttp://purl.org/coar/access_right/c_16ecapplication/pdffulltexthttps://repositorium.uminho.pt/bitstreams/9d0b599d-ef25-4c42-ac52-1ed2d5f1c070/download |
| spellingShingle | Carbon financial markets: a time–frequency analysis of CO₂ prices Sousa, Rita Carbon prices Financial markets Multivariate wavelet analysis Ciências Sociais::Economia e Gestão |
| status | SINGLETON |
| subject.fl_str_mv | Carbon prices Financial markets Multivariate wavelet analysis |
| subject.other.fl_str_mv | Ciências Sociais::Economia e Gestão |
| title | Carbon financial markets: a time–frequency analysis of CO₂ prices |
| title_full | Carbon financial markets: a time–frequency analysis of CO₂ prices |
| title_fullStr | Carbon financial markets: a time–frequency analysis of CO₂ prices |
| title_full_unstemmed | Carbon financial markets: a time–frequency analysis of CO₂ prices |
| title_short | Carbon financial markets: a time–frequency analysis of CO₂ prices |
| title_sort | Carbon financial markets: a time–frequency analysis of CO₂ prices |
| topic | Carbon prices Financial markets Multivariate wavelet analysis Ciências Sociais::Economia e Gestão |
| topic_facet | Carbon prices Financial markets Multivariate wavelet analysis Ciências Sociais::Economia e Gestão |
| url | https://hdl.handle.net/1822/30647 |
| visible | 1 |