欧盟碳期货交易价格及市场风险分析

欧盟碳期货交易价格及市场风险分析

就目前国际期货市场发展形势来看,欧洲气候交易所碳期货交易十分活跃,本文以欧盟碳期货实际交易数据为例,运用GARCH模型和Va R方法量化分析欧盟碳期货交易的风险,结果表明：碳市场价格波动具有尖峰、厚尾、自相关、波动性聚类和条件方差等典型特征,碳市场存在显著的极端价格波动风险。...

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Veröffentlicht in:浙江金融 2016-05 (5), p.24-30
1. Verfasser: 苏蕾 梁轶男
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GARCH
碳期货
风险
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description 就目前国际期货市场发展形势来看,欧洲气候交易所碳期货交易十分活跃,本文以欧盟碳期货实际交易数据为例,运用GARCH模型和Va R方法量化分析欧盟碳期货交易的风险,结果表明：碳市场价格波动具有尖峰、厚尾、自相关、波动性聚类和条件方差等典型特征,碳市场存在显著的极端价格波动风险。
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source 国家哲学社会科学学术期刊数据库 (National Social Sciences Database)
subjects GARCH
碳期货
风险
title 欧盟碳期货交易价格及市场风险分析
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