Enriching the value-at-risk framework to ensemble empirical mode decomposition with an application to the European carbon market
Bangzhu Zhu, Ping Wang, Julien Chevallier, Yi-Ming Wei
| Year of publication: |
2023
|
|---|---|
| Authors: | Zhu, Bangzhu ; Wang, Ping ; Chevallier, Julien ; Wei, Yi-Ming |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 3, p. 2975-2988
|
| Subject: | ARMA-GARCH | ensemble empirical mode decomposition | European carbon market | exponentially weighted moving average | iterated cumulative sums of squares | value-at-risk | EU-Staaten | EU countries | Treibhausgas-Emissionen | Greenhouse gas emissions | Risikomaß | Risk measure | Emissionshandel | Emissions trading | Theorie | Theory |
| Description of contents: | Description [doi.org] |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Retraction notice enthalten in: volume 29, issue 1 (January 2024) |
| Other identifiers: | 10.1002/ijfe.2578 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014327636