Matches in SemOpenAlex for { <https://semopenalex.org/work/W4315865087> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W4315865087 endingPage "102529" @default.
- W4315865087 startingPage "102529" @default.
- W4315865087 abstract "For a long time, the correlation between random sources has never been considered in carbon futures pricing, which virtually exists. We document the presence of high correlation between variations in convenience yields of carbon futures with different maturities, whose essence is correlation between random sources. Correlation of random sources arises from the long coverage of convenience yield of carbon emission spot and the complementarity in expiration between carbon futures with different maturities. Since if random sources are correlated will significantly affect the dynamics of convenience yield and finally affect futures prices, we introduce quantum field method to account for the impact of this correlation on futures prices, and proposes the correlation between random sources extended HJM convenience yield model (CRS-HJM-CYM). Empirical results indicate CRS-HJM-CYM performs better than traditional model owing to the role of correlation, which means the correlation between random sources is a pivotal factor in carbon futures pricing." @default.
- W4315865087 created "2023-01-13" @default.
- W4315865087 creator A5027992454 @default.
- W4315865087 creator A5042150866 @default.
- W4315865087 date "2023-03-01" @default.
- W4315865087 modified "2023-10-16" @default.
- W4315865087 title "Random sources correlations and carbon futures pricing" @default.
- W4315865087 cites W1608767736 @default.
- W4315865087 cites W1980483884 @default.
- W4315865087 cites W2028068740 @default.
- W4315865087 cites W2050067494 @default.
- W4315865087 cites W2064978316 @default.
- W4315865087 cites W2077646446 @default.
- W4315865087 cites W2089240053 @default.
- W4315865087 cites W2089856083 @default.
- W4315865087 cites W2090268625 @default.
- W4315865087 cites W2093620380 @default.
- W4315865087 cites W2098470572 @default.
- W4315865087 cites W2137553792 @default.
- W4315865087 cites W2141186877 @default.
- W4315865087 cites W2151462549 @default.
- W4315865087 cites W2170444200 @default.
- W4315865087 cites W2290404289 @default.
- W4315865087 cites W2461765577 @default.
- W4315865087 cites W2575913013 @default.
- W4315865087 cites W2762616684 @default.
- W4315865087 cites W2972431164 @default.
- W4315865087 cites W3008273182 @default.
- W4315865087 cites W3012903550 @default.
- W4315865087 cites W3114492306 @default.
- W4315865087 cites W3118139479 @default.
- W4315865087 cites W3122146539 @default.
- W4315865087 cites W3122544689 @default.
- W4315865087 cites W3123321876 @default.
- W4315865087 cites W3123593818 @default.
- W4315865087 cites W3124672250 @default.
- W4315865087 cites W3124968712 @default.
- W4315865087 cites W3125175674 @default.
- W4315865087 cites W3125342778 @default.
- W4315865087 cites W3125515276 @default.
- W4315865087 cites W3125864206 @default.
- W4315865087 cites W3128031213 @default.
- W4315865087 cites W3141781642 @default.
- W4315865087 cites W3179088290 @default.
- W4315865087 cites W3204903227 @default.
- W4315865087 cites W3216414248 @default.
- W4315865087 cites W339964850 @default.
- W4315865087 cites W4237699973 @default.
- W4315865087 cites W4243079420 @default.
- W4315865087 cites W4282966578 @default.
- W4315865087 cites W4297563888 @default.
- W4315865087 doi "https://doi.org/10.1016/j.irfa.2023.102529" @default.
- W4315865087 hasPublicationYear "2023" @default.
- W4315865087 type Work @default.
- W4315865087 citedByCount "1" @default.
- W4315865087 countsByYear W43158650872023 @default.
- W4315865087 crossrefType "journal-article" @default.
- W4315865087 hasAuthorship W4315865087A5027992454 @default.
- W4315865087 hasAuthorship W4315865087A5042150866 @default.
- W4315865087 hasConcept C105795698 @default.
- W4315865087 hasConcept C106159729 @default.
- W4315865087 hasConcept C106306483 @default.
- W4315865087 hasConcept C117220453 @default.
- W4315865087 hasConcept C149782125 @default.
- W4315865087 hasConcept C162324750 @default.
- W4315865087 hasConcept C187614132 @default.
- W4315865087 hasConcept C2524010 @default.
- W4315865087 hasConcept C33923547 @default.
- W4315865087 hasConcept C91602232 @default.
- W4315865087 hasConceptScore W4315865087C105795698 @default.
- W4315865087 hasConceptScore W4315865087C106159729 @default.
- W4315865087 hasConceptScore W4315865087C106306483 @default.
- W4315865087 hasConceptScore W4315865087C117220453 @default.
- W4315865087 hasConceptScore W4315865087C149782125 @default.
- W4315865087 hasConceptScore W4315865087C162324750 @default.
- W4315865087 hasConceptScore W4315865087C187614132 @default.
- W4315865087 hasConceptScore W4315865087C2524010 @default.
- W4315865087 hasConceptScore W4315865087C33923547 @default.
- W4315865087 hasConceptScore W4315865087C91602232 @default.
- W4315865087 hasFunder F4320321001 @default.
- W4315865087 hasLocation W43158650871 @default.
- W4315865087 hasOpenAccess W4315865087 @default.
- W4315865087 hasPrimaryLocation W43158650871 @default.
- W4315865087 hasRelatedWork W1560655131 @default.
- W4315865087 hasRelatedWork W1998252100 @default.
- W4315865087 hasRelatedWork W2089095202 @default.
- W4315865087 hasRelatedWork W2220365841 @default.
- W4315865087 hasRelatedWork W3121228874 @default.
- W4315865087 hasRelatedWork W3122720222 @default.
- W4315865087 hasRelatedWork W3124797975 @default.
- W4315865087 hasRelatedWork W3125093482 @default.
- W4315865087 hasRelatedWork W4291371314 @default.
- W4315865087 hasRelatedWork W85009525 @default.
- W4315865087 hasVolume "86" @default.
- W4315865087 isParatext "false" @default.
- W4315865087 isRetracted "false" @default.
- W4315865087 workType "article" @default.