@inproceedings{db35ccba13424e849a7a220c8f1cda10,
title = "Estimating the portfolio risk with Copula-GARCH-EVT method: Empirical study of carbon market",
abstract = "With the rapid growth of the carbon market, carbon price fluctuations are increasingly important for market participants. Carbon market risk directly affects the investor confidence and emission reduction results. In this paper we use Copula-GARCH-EVT model to calculate the Value-at-Risk of carbon futures via Monte Carlo method and demonstrate that GARCH-EVT model is the proper marginal distribution, it has higher accuracy than other marginal distribution models. The method of Copula is better than the traditional covariance metric method.",
keywords = "Carbon market, Copula function, GARCH-EVT method, Portfolio VaR",
author = "Ting Li and Zhang, \{Zhi Gang\} and Zhao, \{Lu Tao\}",
year = "2013",
doi = "10.4028/www.scientific.net/AMR.791-793.2175",
language = "English",
isbn = "9783037858363",
series = "Advanced Materials Research",
pages = "2175--2178",
booktitle = "Chemical and Mechanical Engineering, Information Technologies",
note = "2013 3rd International Symposium on Chemical Engineering and Material Properties, ISCEMP 2013 ; Conference date: 22-06-2013 Through 24-06-2013",
}