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- W2353732653 abstract "With the rapid development of the EU ETS carbon emission allowance markets,it is of more importance and practical significance to establish a clear and reliable risk measurement model for EUA futures market.According to the statistic character of the logarithmic return,this paper establish four stochastic volatility models,using MCMC method to estimate the parameters,and the SV models to estimate the VaR of the EUA future market risk. The DIC values indicate that leverage-SV model perform the best.The back testing also indicates that leverage-SV gives the most effective VaR.The empirical research shows that VaR in Phase 1 is higher than in Phase 2,and the global financial risk increase the market risks." @default.
- W2353732653 created "2016-06-24" @default.
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- W2353732653 date "2011-01-01" @default.
- W2353732653 modified "2023-09-24" @default.
- W2353732653 title "EU ETS EUA Future Market Risk Measurement——An Empirical Research Based on SV Models" @default.
- W2353732653 hasPublicationYear "2011" @default.
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