Extreme risk measurement of carbon market considering multifractal characteristics
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Cites work
- Autoregressive Conditional Density Estimation
- Estimating the stable index in order to measure tail thickness: a critique
- Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
- Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
- Multifractal detrended fluctuation analysis of nonstationary time series
- Statistical inference using extreme order statistics
- The influencing factors of sCER price dynamics under the clean development mechanism: theory and econometric analysis
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