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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Bibliographic Details

Published in:	International journal of finance and economics Vol. 28; no. 3; pp. 2975 - 2988
Main Authors:	Zhu, Bangzhu, Wang, Ping, Chevallier, Julien, Wei, Yi‐Ming
Format:	Journal Article
Language:	English
Published:	Chichester Wiley Periodicals Inc 01.07.2023
Subjects:	Carbon Stochastic models
ISSN:	1076-9307, 1099-1158
Online Access:	Get full text
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