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Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach
16 references·7 citing·42 second hop
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References

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  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
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  • 1997An Overview of Value at Risk1,320 cited
  • 1992A Multivariate Exponentially Weighted Moving Average Control Chart1,231 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2008Price drivers and structural breaks in European carbon prices 2005–2007725 cited
  • 2015RiskMetrics Technical Document661 cited
  • 2005Measuring Market Risk489 cited
  • 2010An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect434 cited
  • 2002Measures of risk325 cited
  • 2015The dynamic volatility spillover between European carbon trading market and fossil energy market280 cited
  • 2015Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk248 cited
  • 2015A decomposition–ensemble model with data-characteristic-driven reconstruction for crude oil price forecasting204 cited
  • 2013Carbon Price Analysis Using Empirical Mode Decomposition

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132 cited
  • 2014Risk model-at-risk102 cited
  • Cited by

    • 2022Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network87 cited
    • 2020Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach80 cited
    • 2023An enhanced hybrid model based on multiple influencing factors and divide-conquer strategy for carbon price prediction71 cited
    • 2022An optimized decomposition integration framework for carbon price prediction based on multi-factor two-stage feature dimension reduction50 cited
    • 2021Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine49 cited
    • 2023Carbon price prediction based on decomposition technique and extreme gradient boosting optimized by the grey wolf optimizer algorithm38 cited
    • 2024Analysis of market risk volatility and warning in carbon trading market24 cited