Enriching the VaR framework to EEMD with an application to the European carbon market-Reference-Cited by-同舟云学术

Enriching the VaR framework to EEMD with an application to the European carbon market

Author:

Zhu Bangzhu¹,Wang Ping¹,Chevallier Julien²³,Wei Yi-Ming⁴,Xie Rui⁵

Affiliation:

1. School of Management; Jinan University; Guangzhou 510632 China

2. IPAG Business School, IPAG Lab; 184 Boulevard Saint-Germain Paris 75006 France

3. Université Paris 8 (LED); 2 avenue de la Liberté 93526 Saint-Denis cedex France

4. Center for Energy and Environmental Policy Research; Beijing Institute of Technology; Beijing 100081 China

5. School of Economics and Trade; Hunan University; Changsha 410082 China

Funder

National Natural Science Foundation of China

National Philosophy and Social Science Foundation of China

Natural Science Foundation for Distinguished Young Talents of Guangdong

Distinguished Young Teachers of Guangdong

High-level Personnel Project of Guangdong

Guangzhou key base of humanities and social science - Centre for Low Carbon Economic Research

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference25 articles.

2. Risk models-at-risk;Boucher;Journal of Banking & Finance,2014

4. Variance risk-premia in CO2 markets;Chevallier;Economic Modelling,2013

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