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 results show that during the sample period, first, the EVT approach can be used to reliably measure the extreme risk of carbon futures markets of the EU ETS, both for Phase I and...
