Publicação

Carbon financial markets: a time–frequency analysis of CO₂ prices

Ver documento

Detalhes bibliográficos
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
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

Registos relacionados

Registos relacionados