Modeling the Risk of Extreme Value Dependence in Chinese Regional Carbon Emission Markets
In this study, we analyze the risk of extreme value dependence in Chinese regional carbon emission markets. After filtering the daily return data of six carbon markets in China using a generalized autoregressive conditional heteroscedasticity (GARCH) model, we obtain the standardized residual series...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-09-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2071-1050/12/19/7911 |