Wavelet packet transforms analysis applied to carbon prices
AbstractThis paper deals with carbon price variations using a multi time scale decomposition based on the theory of wavelets. Our approach is based on wavelet packet transforms. This original approach enables us to identify that the periods which contribute the most to EUA spot, EUA futures, and CER futures price variations are February-April 2008, October-November 2008, and the recent 2009-2011 business cycle which correspond to major institutional uncertainties and changes in macroeconomic fundamentals. This wavelet decomposition therefore provides additional evidence on the drivers of carbon prices being institutional events and economic activity.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 31 (2011)
Issue (Month): 2 ()
Contact details of provider:
Carbon Price; EUA; CER; Wavelet;
Other versions of this item:
- Chevallier, Julien, 2011. "Wavelet packet transforms analysis applied to carbon prices," Economics Papers from University Paris Dauphine 123456789/6515, Paris Dauphine University.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Haibin Wu, 2006. "Wavelet Estimation of Time Series Regression with Long Memory Processes," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-10.
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- Emilie Alberola & Julien Pierre Chevallier, 2007. "European carbon prices and banking restrictions: evidence from phase I (2005-2007)," EconomiX Working Papers 2007-32, University of Paris West - Nanterre la Défense, EconomiX.
- Ombao H. C & Raz J. A & von Sachs R. & Malow B. A, 2001. "Automatic Statistical Analysis of Bivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 543-560, June.
- Ombao, Hernando & von Sachs, Rainer & Guo, Wensheng, 2005. "SLEX Analysis of Multivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 519-531, June.
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