Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading
Author:
Funder
North China Electrical Power University
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference42 articles.
1. Modelling coal rent, economic growth and CO2 emissions: does regulatory quality matter in BRICS economies?;Adedoyin;Sci. Total Environ.,2020
2. Generalized autoregressive conditional heteroscedasticity;Bollerslev;J. Econometr.,1986
3. Carbon pricing in the EU: evaluation of different EU ETS reform options;Brink;Energy Policy,2016
4. True or spurious long memory in volatility: further evidence on the energy futures markets;Charfeddine;Energy Policy,2014
5. The pricing and numerical analysis of lookback options for mixed fractional Brownian motion;Chen;Chaos Solitons Fract.,2019
Cited by 43 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. Carbon option pricing based on uncertain fractional differential equation: A binomial tree approach;Mathematics and Computers in Simulation;2024-11
2. Carbon price forecasting using leaky integrator echo state networks with the framework of decomposition-reconstruction-integration;Energy;2024-10
3. China’s carbon emission allowance prices forecasting and option designing in uncertain environment;Fuzzy Optimization and Decision Making;2024-09-09
4. Hybrid carbon price forecasting using a deep augmented FEDformer model and multimodel optimization piecewise error correction;Expert Systems with Applications;2024-08
5. Multi-perspective option price forecasting combining parametric and non-parametric pricing models with a new dynamic ensemble framework;Technological Forecasting and Social Change;2024-07
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