[en] The implementation of the EU ETS in 2005 led to the establishment of a price that
enables manufacturers to realize the impact of their activities on the environment clean.
There are no items this day, since the creation of the European carbon market, which
has focused on analyzing volatility transmission between different investment horizons. The purpose of this paper is to fill this gap in the literature. we analyze the
volatility of the price of carbon quota (EUA), by studying linear and nonlinear causal
relationships of wavelet components between the different volatilities we captured at
different time scales. we initially decomposed the EUA price volatility
at different time-frequency intervals using a wavelet approach. Our study will be to examine whether the volatility is transmitted from the high-frequency structure of the carbon
price in the low frequency. Our results show an intra-structural dependence on carbon
price volatility. We detect instability in the volatility of carbon and observe the existence
of a bidirectional relationship from high-frequency traders to low-frequency traders. Our
study showed that high-frequency shocks yield carbon price can have a significant impact
beyond their Frontiers and touch the low-frequency structure associated with long-term
traders
Keywords: Carbon market, EU ETS, Wavelet, time-scale, Granger Causality.
Disciplines :
Méthodes quantitatives en économie & gestion
Auteur, co-auteur :
Nsouadi, Ange
TERRAZA, Virginie ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA)
Co-auteurs externes :
yes
Langue du document :
Anglais
Titre :
The multi-scale analysis of dynamic transmission volatility of carbon prices
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