Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold

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.

Publication Details

Journal
ArXiv.org
Published
2025-10-08
Primary Topic
Gene Regulatory Network Analysis
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article
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article

Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold

ArXiv.org
Gene Regulatory Network Analysis
article

Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold

article en

Abstract

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.

ArXiv.org
Openalex Percentile: Top 45%
Gene Regulatory Network Analysis
Open Access PDFOpenAlex
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Modeling and forecasting of European Carbon Emission Allowance futures by ARIMA-TX-GARCH models with correlation threshold · ArXiv.org (2025) | TGRS Research Map | TGRS