The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems
Author:
Funder
National Natural Science Foundation of China
Natural Science Foundation of Shandong Province
Shandong Province
Publisher
Elsevier BV
Subject
General Energy,Economics and Econometrics
Reference67 articles.
1. Carbon risk and optimal retrofitting in cement plants: an application of stochastic modelling, MonteCarlo simulation and Real Options Analysis;Abadie;J. Clean. Prod.,2017
2. A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model;Alexander;Manag. Sci.,2004
3. The (de)merits of minimum-variance hedging, application to the crack spread;Alexander;Energy Econ.,2013
4. A Markov regime switching approach for hedging energy commodities;Alizadeh;J. Bank. Financ.,2008
5. A regime switching approach for hedging tanker shipping freight rates;Alizadeh;Energy Econ.,2015
Cited by 40 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Extreme spillovers across carbon and energy markets: A multiscale higher-order moment analysis;Energy Economics;2024-10
2. Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model;Journal of Futures Markets;2024-08-05
3. Untangling the entanglement of US monetary policy uncertainty and European natural gas and carbon prices;Energy Economics;2024-05
4. How do precious and industrial metals hedge oil in a multi-frequency semiparametric CVaR portfolio?;The North American Journal of Economics and Finance;2024-05
5. Time–frequency domain based optimization of hedging strategy: Evidence from CSI 500 spot and futures;Expert Systems with Applications;2024-03
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3