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

DOI10.1007/S10479-018-2982-0MaRDI QIDQ2288914zbMATH OpenOpenAlexWikidataFDO

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

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

ARMA-EGARCHempirical mode decompositionEuropean carbon marketexponentially weighted moving averageiterated cumulative sums of squaresvalue-at-risk

Mathematics Subject Classification ID

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

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Cites work

• A Multivariate Exponentially Weighted Moving Average Control Chart
• An adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear energy price time series forecasting
• 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

Cited in

(10)

• A scenario-based integrated approach for modeling carbon price risk
• The two-stage machine learning ensemble models for stock price prediction by combining mode decomposition, extreme learning machine and improved harmony search algorithm
• Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine
• Research on risk mechanism of China's carbon financial market development from the perspective of ecological civilization
• Downside risks in EU carbon and fossil fuel markets
• Investigation of multifractal features of the relationship between price and volume in international carbon market
• A Wavelet Based Multi Scale VaR Model for Agricultural Market
• Extreme risk measurement of carbon market considering multifractal characteristics
• Forecasting carbon market volatility with big data
• An optimized decomposition integration framework for carbon price prediction based on multi-factor two-stage feature dimension reduction

Describes a project that uses

Uses Software

• Dowd
• RiskMetrics

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