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A new risk measurement method for China's carbon market
12 references·0 citing·52 second hopsampled
A new risk measurement method for China's carbon market (2020)A new risk measurement method for China's…Predicting carbon market risk using information from macroeconomic fundamentals (2018)Predicting carbon market risk…Understanding volatility dynamics in the EU-ETS market (2015)Understanding volatility dyna…The dynamic volatility spillover between European carbon trading market and fossil energy market (2015)The dynamic volatility spillo…Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk (2015)Risk spillovers across the en…Modelling the dynamics of European carbon futures price: A Zipf analysis (2014)Modelling the dynamics of Eur…Carbon Emissions in China: A Spatial Econometric Analysis at the Regional Level (2014)Carbon Emissions in China: A …Detecting instability in the volatility of carbon prices (2010)Detecting instability in the …Carbon trading thickness and market efficiency (2010)Carbon trading thickness and …An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect (2010)An overview of current resear…Estimation of value-at-risk for energy commodities via fat-tailed GARCH models (2007)Estimation of value-at-risk f…Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…Value at Risk Models in Finance (2003)Value at Risk Models in Finan…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)Generalized autoregressive conditional heteroskedasticity (1986)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Robust performance hypothesis testing with the Sharpe ratio (2008)The impact of terrorism on financial markets: An empirical study (2010)Financial Network Systemic Risk Contributions (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach (2009)Forecasting petroleum futures markets volatility: The role of regimes and market conditions (2010)Extreme risk spillovers between crude oil and stock markets (2015)The energy–climate challenge: Recent trends in CO2 emissions from fuel combustion (2007)Modeling the price dynamics of CO2 emission allowances (2008)Price drivers and structural breaks in European carbon prices 2005–2007 (2008)Carbon price forecasting with a novel hybrid 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recursive CGE model in China (2016)Dynamics of China’s carbon prices in the pilot trading phase (2017)Stakeholder pressures and corporate climate change mitigation strategies (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Forecasting carbon futures volatility using GARCH models with energy volatilities (2013)Asymmetric relationship between carbon emission trading market and stock market: Evidences from China (2020)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Econometrics of Financial Markets (2012)How to improve the market efficiency of carbon trading: A perspective of China (2016)A review of China’s carbon trading market (2018)Indicator Variables for Optimal Policy (2000)Measures of risk (2002)The quest for prosperity without inflation (2003)VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)Can domestic tourism relieve the COVID-19 tourist industry crisis? The case of Spain (2021)Autoregressive conditional heteroskedasticity and changes in regime (1994)Modeling Asymmetric Comovements of Asset Returns (1998)Dynamic Conditional Correlation (2002)Optimal hedge ratios for clean energy equities (2018)
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References

  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
  • 2010An overview of current research on EU ETS: Evidence from its operating mechanism and economic effect434 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
  • 2003Value at Risk Models in Finance210 cited
  • 2007Estimation of value-at-risk for energy commodities via fat-tailed GARCH models171 cited
  • 2010Carbon trading thickness and market efficiency167 cited
  • 2010Detecting instability in the volatility of carbon prices126 cited
  • 2015Understanding volatility dynamics in the EU-ETS market116 cited
  • 2014Carbon Emissions in China: A Spatial Econometric Analysis at the Regional Level93 cited
  • 2018Predicting carbon market risk using information from macroeconomic fundamentals40 cited
  • 2014Modelling the dynamics of European carbon futures price: A Zipf analysis33 cited

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