Downside risks in EU carbon and fossil fuel markets

DOI10.1016/J.MATCOM.2014.12.001MaRDI QIDQ2228623zbMATH OpenOpenAlexWikidataFDO

Authors Juan C. Reboredo, Mikel Ugando

Publication date 19 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2014.12.001

zbMATH Keywords

EGARCHdownside riskEVTemission allowancesfossil fuel prices

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

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Cited in

(2)

• Extreme risk measurement of carbon market considering multifractal characteristics
• Methanol futures hedging with skewed normal distribution by copula method

Describes a project that uses

Uses Software

• DerivaGem

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