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Extreme risk measurement of carbon market considering multifractal characteristics - MaRDI portal

Extreme risk measurement of carbon market considering multifractal characteristics

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Publication:6594989

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DOI10.1007/s11424-023-1471-yzbMath1546.9119MaRDI QIDQ6594989

Chen Zhang, Di Pan, Dandan Zhu

Publication date: 29 August 2024

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

zbMATH Keywords

extreme value theory multifractal VaR skewed-\(t\) distribution carbon market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

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