Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals

Forecasting European carbon returns using dimension reduction techniques: Commodity versus financial fundamentals

Using a broad selection of 53 carbon (EUA) related, commodity and financial predictors, we provide a comprehensive assessment of the out-of-sample (OOS) predictability of weekly European carbon futures return. We assess forecast performance using both statistical and economic value metrics over an O...

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Bibliographic Details
Main Authors: Xueping Tan, Kavita Sirichand, Andrew Vivian, Xinyu Wang
Format: Default Article
Published: 2021
Subjects:
Statistics not elsewhere classified
Carbon return predictability
Dimension reduction techniques
Decision based forecast evaluation
Economic gains
EU ETS
Out-of-sample forecasting
Diffusion index models
Statistics
Online Access:https://hdl.handle.net/2134/14955138.v2
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https://hdl.handle.net/2134/14955138.v2

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