期刊
SUSTAINABILITY
卷 12, 期 19, 页码 -出版社
MDPI
DOI: 10.3390/su12197911
关键词
carbon emission markets; GARCH; extreme value theory; copula function; value-at-risk
资金
- General Program of Humanity and Social Science, Ministry of Education [16YJC790030]
- Anhui Natural Science Foundation [1708085QG163]
- Innovation Fund of the Research Institute of International Economics and Management, Xihua University [20200011]
- Humanities & Social Sciences research projects of Ministry of Education [17YJA630121]
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. Next, the dependence structures in the markets are captured by the Copula function and the Extreme Value theory (EVT). We report high peaks, heavy tails and fluctuation aggregation in the logarithm return series of the markets, as well as significant dependent structures. There are significant extreme value risks in Chinese regional carbon markets, but the risks can be mitigated through appropriate portfolio diversification.
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