Carbon financial markets: a time-frequency analysis of CO2 price drivers

We characterize the interrelation of CO2 prices with energy prices (gas and electricity), 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 dom...

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Bibliographic Details
Main Author: Sousa, Rita (author)
Other Authors: Conraria, Luís Aguiar (author), Soares, M. J. (author)
Format: workingPaper
Language:eng
Published: 2014
Subjects:
Carbon prices
Financial markets
Multivariate wavelet analysis
Online Access:http://hdl.handle.net/1822/27957
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/27957

Internet

http://hdl.handle.net/1822/27957

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