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Volatility modeling and the asymmetric effect for China's carbon trading pilot market
Fu Y(傅洋)1,2,3; Zheng ZY(郑泽宇)1,2,3
Department数字工厂研究室
Source PublicationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN0378-4371
2020
Volume542Pages:1-11
Indexed BySCI
WOS IDWOS:000526839800008
Contribution Rank1
Funding OrganizationProgram for National Natural Science Foundation, China [71671182] ; Program for One-hundred Talent Program of the Chinese Academy of Sciences [Y5AA100A01]
KeywordCarbon emissions Carbon price behavior ARMA-EGARCH-SGED process News impact curve Asymmetric effect Backtesting Value-at-Risk
Language英语
Citation statistics
Document Type期刊论文
Identifierhttp://ir.sia.cn/handle/173321/26748
Collection数字工厂研究室
Corresponding AuthorFu Y(傅洋)
Affiliation1.Shenyang Institute of Automation, Chinese Academy of Sciences, Shenyang, 110016, Liaoning, China
2.Institutes for Robotics and Intelligent Manufacturing, Chinese Academy of Sciences, Shenyang, 110169, Liaoning, China
3.Key Laboratory of Network Control System, Chinese Academy of Sciences, Shenyang, 110016, Liaoning, China
Recommended Citation
GB/T 7714
Fu Y,Zheng ZY. Volatility modeling and the asymmetric effect for China's carbon trading pilot market[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2020,542:1-11.
APA Fu Y,&Zheng ZY.(2020).Volatility modeling and the asymmetric effect for China's carbon trading pilot market.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,542,1-11.
MLA Fu Y,et al."Volatility modeling and the asymmetric effect for China's carbon trading pilot market".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 542(2020):1-11.
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