| 欧盟碳市场期货价格分布特征分析 |
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| 引用本文： | 王恺,邹乐乐,魏一鸣. 欧盟碳市场期货价格分布特征分析[J]. 数学的实践与认识, 2010, 40(12) |
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| 作者姓名： | 王恺 邹乐乐 魏一鸣 |
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| 基金项目： | 国家自然科学基金,博士点基金,中国科学院知识创新工程重要方向项目群项目 |
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| 摘 要： | 市场价格的收益率特征是研究市场特点的出发点.从各类常见分布入手,检验了欧盟碳市场的真实分布特性,最终发现稳态分布最适宜于描述碳市场的收益率分布.据此,讨论了欧盟碳市场的信息传递与风险评价特点.
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| 关 键 词： | EU ETS 稳态分布 收益率 |
The Distribution Characteristics of EU ETS Futures Prices |
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| WANG Kai,ZOU Le-le,WEI Yi-ming. The Distribution Characteristics of EU ETS Futures Prices[J]. Mathematics in Practice and Theory, 2010, 40(12) |
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| Authors: | WANG Kai ZOU Le-le WEI Yi-ming |
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| Abstract: | The distribution of returns is very important to the analysis of market characteristics. In this paper,different kinds of distribution models are used to describe the real distribution of returns of EU Emission Trading System(EU ETS).The stable distribution is found the best appropriate model.Based on the stable distribution,this paper discusses the features of information transfer and risk assessment in EU ETS. |
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| Keywords: | EU ETS stable distribution returns |
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