Modelling extreme risks for carbon emission allowances — Evidence from European and Chinese carbon markets

Dynamic semiparametric models for expected shortfall (and Value-at-Risk)

(2019) Andrew J. Patton et al.   JOURNAL OF ECONOMETRICS

Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data

(2019) Xiaochun Meng et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets: New evidence from China’s emissions trading scheme pilots

(2019) Kai Chang et al.   ENERGY

Exploring the risk spillover effects among China's pilot carbon markets: A regular vine copula-CoES approach

(2019) Bangzhu Zhu et al.   JOURNAL OF CLEANER PRODUCTION

The impacts of liquidity dynamics on emissions allowances price: Different evidence from China's emissions trading pilots

(2018) Kai Chang et al.   JOURNAL OF CLEANER PRODUCTION

The response of the Beijing carbon emissions allowance price (BJC) to macroeconomic and energy price indices

(2017) Shihong Zeng et al.   ENERGY POLICY

What policy adjustments in the EU ETS truly affected the carbon prices?

(2017) Ying Fan et al.   ENERGY POLICY

Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models

(2017) Mawuli Segnon et al.   RENEWABLE & SUSTAINABLE ENERGY REVIEWS

Asymmetry in tail dependence in equity portfolios

(2016) Eric Jondeau   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Downside risks in EU carbon and fossil fuel markets

(2015) Juan C. Reboredo et al.   MATHEMATICS AND COMPUTERS IN SIMULATION

The relationship between European electricity markets and emission allowance futures prices in phase II of the EU (European Union) emission trading scheme

(2014) Arieke Boersen et al.   ENERGY

Energy prices and CO2 emission allowance prices: A quantile regression approach

(2014) Shawkat Hammoudeh et al.   ENERGY POLICY

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

(2012) Zhen-Hua Feng et al.   APPLIED ENERGY