Downside risks in EU carbon and fossil fuel markets

DOI10.1016/j.matcom.2014.12.001OpenAlexW2017390092WikidataQ114181487 ScholiaQ114181487MaRDI QIDQ2228623

Juan C. Reboredo, Mikel Ugando

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2014.12.001

zbMATH Keywords

downside riskEGARCHEVTemission allowancesfossil fuel prices

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

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Uses Software

• DerivaGem

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• An introduction to copulas.
• Forecasting value-at-risk with a duration-based POT method
• Extreme market risk and extreme value theory
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Testing for a unit root in time series regression
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