Concepedia

Estimating risk for the carbon market via extreme value theory: An empirical analysis of the EU ETS

Zhen‐Hua Feng, Yi‐Ming Wei, Kai Wang

Applied Energy · 2012 · 95 citations · 38 references

DOI

Concepts

References

38

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

, , +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

, , +15

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text

, , +14

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

, , +17

Statistical Inference Using Extreme Order Statistics

James Pickands · The Annals of Statistics · 1975 · 3.6K citations

, , +12