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Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence
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Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence (2018)Risk measurement of international carbon …Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression (2017)Forecasting carbon price usin…Dependence changes between the carbon price and its fundamentals: A quantile regression approach (2017)Dependence changes between th…Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models (2016)Modeling and forecasting the …The dynamic volatility spillover between European carbon trading market and fossil energy market (2015)The dynamic volatility spillo…Dynamic linkages among carbon, energy and financial markets: a smooth transition approach (2014)Dynamic linkages among carbon…Modelling the price spread between EUA and CER carbon prices (2013)Modelling the price spread be…Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS (2012)Estimating risk for the carbo…Carbon price forecasting with a novel hybrid ARIMA and least squares support vector machines methodology (2012)Carbon price forecasting with…The Relationship between Carbon, Commodity and Financial Markets: A Copula Analysis* (2011)The Relationship between Carb…Carbon trading thickness and market efficiency (2010)Carbon trading thickness and …Uncertainty Analysis With High Dimensional Dependence Modelling (2007)Uncertainty Analysis With Hig…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…An Introduction to Copulas (1999)An Introduction to CopulasFamilies of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…The tail dependence of the carbon markets: The implication of portfolio management (2020)The tail dependence of the ca…Coherent Measures of Risk (1999)Extreme Correlation of International Equity Markets (2001)The distribution of realized stock return volatility (2001)Conditional value-at-risk for general loss distributions (2002)The Econometrics of Financial Markets (2012)Maxima of normal random vectors: Between independence and complete dependence (1989)Maxima of bivariate random vectors: Between independence and complete dependence (1994)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)The dynamic spillover between carbon and energy markets: New evidence (2018)The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021)The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Comparing Predictive Accuracy (1994)Time series forecasting using a hybrid ARIMA and neural network model (2003)A hybrid ARIMA and support vector machines model in stock price forecasting (2004)Computational Intelligence and Financial Markets: A Survey and Future Directions (2016)A hybrid model for carbon price forecastingusing GARCH and long short-term memory network (2021)Carbon price forecasting based on CEEMDAN and LSTM (2022)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)How to improve the market efficiency of carbon trading: A perspective of China (2016)A review of China’s carbon trading market (2018)Statistical analysis of cointegration vectors (1988)Price drivers in the carbon emissions trading scheme: Evidence from Chinese emissions trading scheme pilots (2020)Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices (2021)The determinants of CO2 prices in the EU emission trading system (2021)Comparing Predictive Accuracy (1995)Machine learning in energy economics and finance: A review (2019)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Multivariate GARCH models: a survey (2006)Introductory Econometrics for Finance (2008)Generating random correlation matrices based on vines and extended onion method (2009)
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References

  • 1999An Introduction to Copulas7,812 cited
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  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
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80 cited
  • 2011The Relationship between Carbon, Commodity and Financial Markets: A Copula Analysis*70 cited
  • 2013Modelling the price spread between EUA and CER carbon prices64 cited
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    • 2020The tail dependence of the carbon markets: The implication of portfolio management17 cited