Retracted: Enriching the value‐at‐risk framework to ensemble empirical mode decomposition with an application to the European carbon market

Unlike common financial markets, the European carbon market is a typically heterogeneous market, characterised by multiple timescales and affected by extreme events. The traditional value‐at‐risk (VaR) with single‐timescale fails to deal with the multi‐timescale characteristics and the effects of ex...

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Veröffentlicht in:	International journal of finance and economics Jg. 28; H. 3; S. 2975 - 2988
Hauptverfasser:	Zhu, Bangzhu, Wang, Ping, Chevallier, Julien, Wei, Yi‐Ming
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Chichester Wiley Periodicals Inc 01.07.2023
Schlagworte:	Carbon Stochastic models
ISSN:	1076-9307, 1099-1158
Online-Zugang:	Volltext
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