
Wavelet packet transforms analysis applied to carbon prices
Chevallier, Julien (2011), Wavelet packet transforms analysis applied to carbon prices, Economics Bulletin, 31, 2, p. 1731-1747
View/ Open
Type
Article accepté pour publication ou publiéDate
2011-06Journal name
Economics BulletinVolume
31Number
2Publisher
Economics Bulletin
Pages
1731-1747
Metadata
Show full item recordAuthor(s)
Chevallier, JulienAbstract (EN)
This 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.Subjects / Keywords
Carbon; price variations; wavelet decomposition; wavelet packet transformsRelated items
Showing items related by title and author.
-
Chevallier, Julien (2010) Document de travail / Working paper
-
Chèze, Benoît; Chevallier, Julien; Alberola, Emilie (2009) Article accepté pour publication ou publié
-
Chevallier, Julien (2012) Article accepté pour publication ou publié
-
Alberola, Emilie; Chevallier, Julien; Chèze, Benoît (2008) Article accepté pour publication ou publié
-
Alberola, Emilie; Chevallier, Julien; Chèze, Benoît (2008) Article accepté pour publication ou publié