Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6694390 | Applied Energy | 2012 | 12 Pages |
Abstract
⺠Extreme value theory and GARCH are used to measure the Value at Risk (VaR) for the spot and futures markets in EU ETS. ⺠The downside risk is higher than the upside risk. ⺠Risks are higher in the first phase than in the second phase. ⺠Risks are similar during the same phase. ⺠Dynamic VaR based on GARCH and EVT can effectively measure the EU ETS market risk.
Related Topics
Physical Sciences and Engineering
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Energy Engineering and Power Technology
Authors
Zhen-Hua Feng, Yi-Ming Wei, Kai Wang,