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Leveraging machine learning to forecast carbon returns: Factors from energy markets
16 references·0 citing·56 second hopsampled
Leveraging machine learning to forecast carbon returns: Factors from energy markets (2023)Leveraging machine learning to forecast c…How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics (2020)How connected is the carbon m…COVID-19 and stock market volatility: An industry level analysis (2020)COVID-19 and stock market vol…Carbon trading volume and price forecasting in China using multiple machine learning models (2019)Carbon trading volume and pri…A carbon price prediction model based on secondary decomposition algorithm and optimized back propagation neural network (2019)A carbon price prediction mod…Scale, composition, and technique effects through which the economic growth, foreign direct investment, urbanization, and trade affect greenhouse gas emissions (2018)Scale, composition, and techn…Predicting the direction of stock market prices using tree-based classifiers (2018)Predicting the direction of s…Investigation of environmental Kuznets curve for ecological footprint: The role of energy and financial development (2018)Investigation of environmenta…Testing the moderating role of financial development in an environmental Kuznets curve: Empirical evidence from Turkey (2016)Testing the moderating role o…The dynamic volatility spillover between European carbon trading market and fossil energy market (2015)The dynamic volatility spillo…Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk (2015)Risk spillovers across the en…Global estimates of energy consumption and greenhouse gas emissions (2013)Global estimates of energy co…Forecasting carbon futures volatility using GARCH models with energy volatilities (2013)Forecasting carbon futures vo…A model of carbon price interactions with macroeconomic and energy dynamics (2011)A model of carbon price inter…An econometric analysis of emission allowance prices (2008)An econometric analysis of em…Pollution and Capital Markets in Developing Countries (2001)Pollution and Capital Markets…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Stable Paretian Models in Finance (2000)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Decisions from Experience and the Effect of Rare Events in Risky Choice (2004)Dynamic behavior of CO2 spot prices (2008)Carbon price drivers: Phase I versus Phase II equilibrium? (2011)Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The dynamic spillover between carbon and energy markets: New evidence (2018)A hybrid model for carbon price forecastingusing GARCH and long short-term memory network (2021)Environmental Impacts of a North American Free Trade Agreement (1991)Finance and Growth: Schumpeter Might Be Right (1993)Does Trade Cause Growth? (1999)The moderating role of corruption between economic growth and CO2 emissions: Evidence from BRICS economies (2018)The role of renewable energy to validate dynamic interaction between CO2 emissions and GDP toward sustainable development in Malaysia (2018)UK's net-zero carbon emissions target: Investigating the potential role of economic growth, financial development, and R&D expenditures based on historical data (1870–2017) (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficient Market Hypothesis and Its Critics (2003)Time Series Momentum (2011)Mean–variance portfolio optimization using machine learning-based stock price prediction (2020)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Prediction of stock price direction using a hybrid GA-XGBoost algorithm with a three-stage feature engineering process (2021)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Testing slope homogeneity in large panels (2007)Testing for Granger non-causality in heterogeneous panels (2012)Determinants of the ecological footprint: Role of renewable energy, natural resources, and urbanization (2019)Dynamic impact of trade policy, economic growth, fertility rate, renewable and non-renewable energy consumption on ecological footprint in Europe (2019)Effect of natural resources, renewable energy and economic development on CO2 emissions in BRICS countries (2019)Carbon price forecasting with a novel hybrid ARIMA and least squares support vector machines methodology (2012)Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression (2017)The conformable fractional grey system model (2019)A multi-factor integrated model for carbon price forecasting: Market interaction promoting carbon emission reduction (2021)Analysis and forecast of China's energy consumption structure (2021)Thermal coal futures trading volume predictions through the neural network (2024)17. A Value for n-Person Games (1953)Impulse response analysis in nonlinear multivariate models (1996)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The determinants of CO2 prices in the EU emission trading system (2021)The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty (2021)Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change (2022)Autoregressive conditional heteroskedasticity and changes in regime (1994)COVID-19 and finance: Agendas for future research (2020)Financial markets under the global pandemic of COVID-19 (2020)COVID-19 pandemic and firm performance: Cross-country evidence (2021)Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany (2021)Financial applications of machine learning: A literature review (2023)Toward a New Conception of the Environment-Competitiveness Relationship (1995)The Impact of Environmental Management on Firm Performance (1996)Event Studies in Economics and Finance (1997)Does financial development reduce CO2 emissions in Malaysian economy? A time series analysis (2013)Dynamic linkages between globalization, financial development and carbon emissions: Evidence from Asia Pacific Economic Cooperation countries (2019)Does green investment, financial development and natural resources rent limit carbon emissions? A provincial panel analysis of China (2020)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2018Investigation of environmental Kuznets curve for ecological footprint: The role of energy and financial development1,162 cited
  • 2001Pollution and Capital Markets in Developing Countries544 cited
  • 2020COVID-19 and stock market volatility: An industry level analysis544 cited
  • 2018Predicting the direction of stock market prices using tree-based classifiers376 cited
  • 2013Forecasting carbon futures volatility using GARCH models with energy volatilities346 cited
  • 2008An econometric analysis of emission allowance prices327 cited
  • 2016Testing the moderating role of financial development in an environmental Kuznets curve: Empirical evidence from Turkey300 cited
  • 2020How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics295 cited
  • 2019Carbon trading volume and price forecasting in China using multiple machine learning models294 cited
  • 2015The dynamic volatility spillover between European carbon trading market and fossil energy market280 cited
  • 2011A model of carbon price interactions with macroeconomic and energy dynamics262 cited
  • 2019A carbon price prediction model based on secondary decomposition algorithm and optimized back propagation neural network259 cited
  • 2018

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Scale, composition, and technique effects through which the economic growth, foreign direct investment, urbanization, and trade affect greenhouse gas emissions
255 cited
  • 2015Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk248 cited
  • 2013Global estimates of energy consumption and greenhouse gas emissions239 cited
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