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Predicting carbon market risk using information from macroeconomic fundamentals · Study

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ArticlePredicting carbon market risk using information from macroeconomic fundamentals

Lei Jiao2018

Article2018

Predicting carbon market risk using information from macroeconomic fundamentals

Lei Jiao · Yin Liao · Qing Zhou

40 citations·0/0 files stored·Energy Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1999Coherent Measures of Risk 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 2002Regime Switches in Interest Rates

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2022Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions 2021Risk spillover from energy market uncertainties to the Chinese carbon market 2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems 2021Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine

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Year2018

Typearticle

Published2018-05-07

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations40

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2018.05.008

openalex_workW2801211452

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