Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/30647
Título: | Carbon financial markets: a time–frequency analysis of CO₂ prices |
Autor(es): | Sousa, Rita Conraria, Luís Aguiar Soares, M. J. |
Palavras-chave: | Carbon prices Financial markets Multivariate wavelet analysis |
Data: | Nov-2014 |
Editora: | Elsevier |
Revista: | Physica A: statistical mechanics and its applications |
Resumo(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. |
Tipo: | Artigo |
Descrição: | "Available online 14 July 2014" |
URI: | https://hdl.handle.net/1822/30647 |
DOI: | 10.1016/j.physa.2014.06.058 |
ISSN: | 0378-4371 |
Versão da editora: | http://www.sciencedirect.com/science/article/pii/S0378437114005330# |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Carbon Financial Markets.pdf Acesso restrito! | Carbon financial markets: A time–frequency analysis of View the MathML source prices | 566,44 kB | Adobe PDF | Ver/Abrir |