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~institution:"Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology"
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Estimating the 'value at risk' of EUA futures prices based on the
extreme
value
theory
Mi, Zhi-Fu
;
Zhang, Yue-Jun
-
Center for Energy and Environmental Policy Research …
-
2010
This paper employs the
Extreme
Value
Theory
(EVT) to measure the 'Value at Risk' (VaR) of EUA futures prices. The …
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