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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