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A Multiscale Analysis for Carbon Price with Ensemble Empirical Mode Decomposition

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Pricing and Forecasting Carbon Markets

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Abstract

This chapter develops ensemble empirical mode decomposition and fine-to-coarse reconstruction in order to extract carbon price signals from a multiscale viewpoint. The decomposition shows the carbon price is affected by both long-term (e.g., trend) and short-term (e.g., supply–demand fundamentals) imbalances that require appropriate forecasting strategies.

Special thanks to Ping Wang, Dong Han, and Ying-Ming Wei in providing research assistance for Chap. 4.

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Authors and Affiliations

  1. School of Management, Jinan University, Guangzhou, China

    Bangzhu Zhu

  2. IPAG Lab, IPAG Business School, Paris, France

    Julien Chevallier

  3. University Paris 8 (LED) UFR AES Economie Gestion, Saint-Denis Cedex, France

    Julien Chevallier

Authors
  1. Bangzhu Zhu
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  2. Julien Chevallier
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Zhu, B., Chevallier, J. (2017). A Multiscale Analysis for Carbon Price with Ensemble Empirical Mode Decomposition. In: Pricing and Forecasting Carbon Markets. Springer, Cham. https://doi.org/10.1007/978-3-319-57618-3_4

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