This paper proposes two new methods (the Quantile Group LASSO and the Quantile Group SCAD models) to evaluate the predictability of a large group of factors on carbon futures returns. The most powerful predictors are selected through the…
In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing…