欧盟碳期货市场的均衡分支和极端风险
Junlong Mi1,2, Xing Yang1,3,2, Jiawen Li1,2
1Economic School of Guangzhou City University of Technology, Guangzhou, 510800, China.
Heliyon
|July 19, 2024
概括
这项研究揭示了欧盟碳排放许可证 (EUA) 期货市场的平衡分支和极端风险. 它确定了148个分支点,突出了投资者行为对市场波动性和风险的影响.
科学领域:
- 环境经济学环境经济学
- 金融计量经济学 金融计量经济学
- 复杂性经济学是一种复杂性经济学.
背景情况:
- 欧盟 (EU) 碳排放许可证 (EUA) 期货表现出长期记忆和波动性集群.
- 投资者的异质性和经济-能源-环境体系是碳市场动态的关键因素.
研究的目的:
- 通过使用FIGARCH和SCC模型共同建模欧盟碳期货回报.
- 检查欧盟碳期货市场中的平衡分支和极端风险.
- 为监管机构和交易者提供关于风险管理的见解.
主要方法:
- 分数集成的通用自回归条件异种多样性 (FIGARCH) 模型.
- 随机点灾难 (SCC) 模型.
- 使用灾难标准分析平衡分支和极端风险.
主要成果:
- SCC模型有效地捕捉了在时间变化的波动性下发生的灾难反应.
- 图表主义者的行为推动了分叉,而原教旨主义者的决定创造了不对称性.
- 确定了148个平衡分支点,在上市场时期,极端风险平均为32.51%
结论:
- 该研究为了解和管理碳市场的极端风险提供了强有力的框架.
- 调查结果支持监管干预市场稳定和协作风险管理.
- 为交易者提供建议,以有效地减轻极端风险.
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