Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model
Wenjing Geng, Xin Zhao, Xiaoxiao Zhou
| Year of publication: |
2023
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|---|---|
| Authors: | Geng, Wenjing ; Zhao, Xin ; Zhou, Xiaoxiao |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 55.2023, 36, p. 4194-4203
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| Subject: | carbon emission allowance | dynamic quantile test | extreme value theory | POT method | Two-Component Beta-Skew-t-EGARCH model | Treibhausgas-Emissionen | Greenhouse gas emissions | Risikomaß | Risk measure | Emissionshandel | Emissions trading | Theorie | Theory | Ausreißer | Outliers | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2022.2128176 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014299610