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Forecasting carbon futures volatility using GARCH models with energy volatilities

Byun, Suk Joon; Cho, Hangjun - In: Energy economics 40 (2013), pp. 207-221

Persistent link: https://www.econbiz.de/10010349571

State-space implementation in forecasting carbon and gas prices in commodity markets

Azhar, Rialdi; Wisnu, Febryan Kusuma; Kesumah, Fajrin … - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 3, pp. 280-286

Persistent link: https://www.econbiz.de/10013285561

A novel framework for carbon price forecasting with uncertainties

Wang, Minggang; Zhu, Mengrui; Tian, Lixin - In: Energy economics 112 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013350454

What drives the European carbon market? : macroeconomic factors and forecasts

Bastianin, Andrea; Mirto, Elisabetta; Qin, Yan; … - 2024

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

Persistent link: https://www.econbiz.de/10014470036

Carbon emission post-coronavirus : continual decline or rebound?

Li, Rongrong; Li, Shuyu - In: Structural change and economic dynamics : SC+ED 57 (2021), pp. 57-67

Persistent link: https://www.econbiz.de/10012648487

Forecasting the CO2 Certificate Price Risk

Ehrenfeld, Wilfried - 2014

Modeling the price risk of CO2 certificates is one important aspect of integral corporate risk management related to emissions trading. The paper presents a risk model which may be the basis for evaluating the risk of emission certificate prices. We assume that the certificate price is...

Persistent link: https://www.econbiz.de/10013069394

Carbon Price Forecasting : Which Driven Factors Can Help

Ren, Xiaohang - 2019

This paper proposes two dimension-reduction and forecasting quantile methods (i.e., the quantile group lasso and the …

Persistent link: https://www.econbiz.de/10012865894

Carbon prices forecasting in quantiles

Ren, Xiaohang; Duan, Kun; Tao, Lizhu; Shi, Yukun; Yan, Cheng - In: Energy economics 108 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013202748

Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading

Liu, Zhibin; Huang, Shang-Ho - In: The North American journal of economics and finance : a … 55 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012667720

A novel decomposition-ensemble based carbon price forecasting model integrated with local polynomial prediction

Qin, Quande; He, Huangda; Li, Li; He, Ling-yun - In: Computational economics 55 (2020) 4, pp. 1249-1273

Persistent link: https://www.econbiz.de/10012223716

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