Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach

DOI10.1007/s10479-018-2982-0zbMath1434.62242OpenAlexW2883138339WikidataQ129468223 ScholiaQ129468223MaRDI QIDQ2288914

Kaijian He, Shunxin Ye, Julien Chevallier, Rui Xie, Bangzhu Zhu

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2982-0

zbMATH Keywords

value-at-riskempirical mode decompositionexponentially weighted moving averageARMA-EGARCHEuropean carbon marketiterated cumulative sums of squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Risk models (general) (91B05)

Related Items (2)

Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine ⋮ The two-stage machine learning ensemble models for stock price prediction by combining mode decomposition, extreme learning machine and improved harmony search algorithm

Uses Software

• Dowd
• RiskMetrics

Cites Work

• A Multivariate Exponentially Weighted Moving Average Control Chart
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• An Adaptive Multiscale Ensemble Learning Paradigm for Nonstationary and Nonlinear Energy Price Time Series Forecasting

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