Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach (Q2288914)
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scientific article; zbMATH DE number 7153544
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| English | Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach |
scientific article; zbMATH DE number 7153544 |
Statements
Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach (English)
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20 January 2020
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value-at-risk
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empirical mode decomposition
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European carbon market
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ARMA-EGARCH
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iterated cumulative sums of squares
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exponentially weighted moving average
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0.7023907899856567
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0.702275276184082
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0.6993734836578369
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0.6935033798217773
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0.6898991465568542
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