Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
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| _version_ | 1866914216503410688 |
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| author | Lee, Jaeho Hwang, Eunju |
| author_facet | Lee, Jaeho Hwang, Eunju |
| contents | We propose an ARIMA-TX-GARCH model and use it to forecast European Carbon Emission Allowance futures prices, incorporating Brent crude oil futures prices as an exogenous variable. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_07568 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold Lee, Jaeho Hwang, Eunju Applications We propose an ARIMA-TX-GARCH model and use it to forecast European Carbon Emission Allowance futures prices, incorporating Brent crude oil futures prices as an exogenous variable. |
| title | Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold |
| topic | Applications |
| url | https://arxiv.org/abs/2510.07568 |