Unlike common financial markets, the European carbon market is a typically heterogeneous
market, characterized by multiple timescales and affected by extreme events. The traditional …

The stock market is heavily influenced by global sentiment, which is full of uncertainty and is
characterized by extreme values and linear and nonlinear variables. High-frequency data …

This study investigates whether the more sophisticated GARCH based models are better
minimum variance hedging strategies than the less sophisticated regression based …

This paper proposes an intelligent risk management system in stock markets based on
indications of social media platforms. Based on a brief survey, we found that the literature …

This study investigates whether gold, USD, and Bitcoin are hedge and safe haven assets
against stock and if they are useful in diversifying downside risk for international stock …

In this study, we propose the application of the GARCH‐EVT‐Copula model in estimating
liquidity‐adjusted value‐at‐risk (L‐VaR) of energy stocks while modeling nonlinear …

Predicting the carbon price accurately can not only promote the sustainability of the carbon
market and the price driving mechanism of carbon emissions, but can also help investors …

The availability of high-frequency trading data and developments in computing technology
make it possible to evaluate Intraday Value-at-Risk (IVaR), a useful risk management tool for …

In the last two decades, several methods for estimating Value at Risk have been proposed in
the literature. Four of the most successful approaches are conditional autoregressive Value …

Energy stocks are potentially a hedge against inflation and have a number of advantages
over other forms of energy investing. This motivates us to study on portfolio management of …