Measuring the risk of European carbon market : an empirical mode decomposition-based value at risk approach
Bangzhu Zhu, Shunxin Ye, Kaijian He, Julien Chevallier, Rui Xie
| Year of publication: |
2019
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|---|---|
| Authors: | Zhu, Bangzhu ; Ye, Shunxin ; He, Kaijian ; Chevallier, Julien ; Xie, Rui |
| Published in: |
Decision making and risk/return optimization in financial economics. - New York, NY, USA : Springer. - 2019, p. 373-395
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| Subject: | Value-at-Risk | Empirical mode decomposition | European carbon market | ARMA-EGARCH | Iterated Cumulative Sums of Squares | Exponentially weighted moving average | Risikomaß | Risk measure | EU-Staaten | EU countries | Emissionshandel | Emissions trading | Treibhausgas-Emissionen | Greenhouse gas emissions | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-2982-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012135887