Search Results - subject:"Multivariate wavelet analysis"

Carbon Financial Markets: a time-frequency analysis of CO2 price drivers

Sousa, Rita; Aguiar-Conraria, Luís; Soares, Maria Joana - Núcleo de Investigação em Políticas Económicas … - 2014

wavelet analysis, which operates in the time-frequency domain. Wavelet analysis provides convenient tools to distinguish …. Previous studies have relied on time-domain techniques, such as Vector Auto-Regressions. In this study, we use multivariate …

Persistent link: https://www.econbiz.de/10010897784

Carbon and Energy Prices: Surfing the Wavelets of California

Sousa, Rita; Aguiar-Conraria, Luís Francisco; Soares, … - Núcleo de Investigação em Políticas Económicas … - 2014

. Using innovative multivariate wavelet analysis, we study the link between carbon prices and primary and final energy prices …

Persistent link: https://www.econbiz.de/10010942885

Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach

He, Kaijian; Lai, Kin Keung; Xiang, Guocheng - In: Energies 5 (2012) 4, pp. 1018-1043

Risk (PVaR). The multivariate wavelet analysis is introduced to analyze the multi-scale behaviors of the correlation among …

Persistent link: https://www.econbiz.de/10010676083

Value at risk estimation with entropy-based wavelet analysis in exchange markets

He, Kaijian; Wang, Lijun; Zou, Yingchao; Lai, Kin Keung - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 62-71

In recent years, exchange markets are increasingly integrated together. Fluctuations and risks across different exchange markets exhibit co-moving and complex dynamics. In this paper we propose the entropy-based multivariate wavelet based approaches to analyze the multiscale characteristic in...

Persistent link: https://www.econbiz.de/10010777059

Carbon financial markets: A time–frequency analysis of CO2 prices

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

multivariate wavelet analysis, which operates in the time–frequency domain. Wavelet analysis provides convenient tools to …

Persistent link: https://www.econbiz.de/10011062305