This paper proposes two dimension-reduction and forecasting quantile methods (i.e., the quantile group lasso and the quantile group SCAD models) to predict carbon futures returns and investigate the predictability of a comprehensive group of factors including market fundamental variables and...

Financial systemic risk – defined as the risk of collapse of an entire financial system vis-à-vis any one individual financial institution – is making inroads into academic research in the aftermath of the late 2000s Global Financial Crisis. We shed light on this new concept by...