Sousa, Rita; Aguiar-Conraria, Luís; Soares, Maria Joana - In: Physica A: Statistical Mechanics and its Applications 414 (2014) C, pp. 118-127
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...