CEEP-BIT WORKING PAPER SERIES

 

Estimating the ‘value at risk’ of EUA futures prices based on the extreme value theory

Zhi-Fu Mi
Yue-Jun Zhang

Working Paper 9
//www.metaimitation.com/english/publications/wp/index.htm

Center for Energy and Environmental Policy Research
Beijing Institute of Technology
No.5 Zhongguancun South Street, Haidian District
Beijing 100081
July 2010

This paper can be cited as: Mi Z-F, Zhang Y-J. 2010. Estimating the ‘value at risk’ of EUA futures prices based on the extreme value theory. CEEP-BIT Working Paper.

This study is supported by the National Natural Science Foundation of China (nos. 71001008, 70733005, 71020107026), Humanities and Social Science Research Foundation of Ministry of Education of China (no. 09YJC630011), Specialized Research Fund for the Doctoral Program of Higher Education (no. 20101101120041), Excellent Young Scholars Research Fund of Beijing Institute of Technology (no. 2010Y1317) and Excellent Talent Research Fund of Beijing Municipality (no. 2011D009011000008). The views expressed herein are those of the authors and do not necessarily reflect the views of the Center for Energy and Environmental Policy Research.

© 2010 by Zhi-Fu Mi and Yue-Jun Zhang. All rights reserved. 

The Center for Energy and Environmental Policy Research, Beijing Institute of Technology (CEEP-BIT), was established in 2009. CEEP-BIT conducts researches on energy economics, climate policy and environmental management to provide scientific basis for public and private decisions in strategy planning and management. CEEP-BIT serves as the platform for the international exchange in the area of energy and environmental policy.
Currently, CEEP-BIT Ranks 121, top10% institutions in the field of Energy Economics at IDEAS（http://ideas.repec.org/top/top.ene.htm), and Ranks 157, top10% institutions in the field of Environmental Economics at IDEAS (http://ideas.repec.org/ top/top.env.html).
 

Yi-Ming Wei
Director of Center for Energy and Environmental Policy Research, Beijing Institute of Technology
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