Predicting carbon market risk using information from macroeconomic fundamentals
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DOI: 10.1016/j.eneco.2018.05.008
Abstract: Economic theories suggest that carbon price movements are closely related to economic fundamentals. This paper develops an economic state-dependent (SD) approach to evaluate carbon market Value-at-Risk (VaR) that incorporates information from macroeconomic fundamentals into carbon… read more here.
Keywords: risk; carbon; macroeconomic fundamentals; information macroeconomic ... See more keywords