Research on risk mechanism of China's carbon financial market development from the perspective of ecological civilization

DOI10.1016/J.CAM.2020.112990zbMath1447.91171OpenAlexW3033233439MaRDI QIDQ2195884

Degang Zhang, Yingli Huang, Guangyu Wang, Chunguang Sheng

Publication date: 28 August 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.112990

zbMATH Keywords

carbon financial marketecological civilizationEGARCH-VaR modelrisk metricsTGARCH-VaR model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Financial markets (91G15)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Tail Behavior of the General Error Distribution
• Threshold heteroskedastic models

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