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econ.EM2024
Comparing predictive ability in presence of instability over a very short time
Fabrizio Iacone, Luca Rossini, Andrea Viselli
We consider forecast comparison in the presence of instability when this affects only a short period of time. We demonstrate that global tests do not perform well in this case, as…
econ.EM2024
Forecasting the Price of Carbon with Macroeconomic and Financial variables
Andrea Bastianin, Elisabetta Mirto, Yan Qin +1
We tackle the issue of producing point, sign, and density forecasts for the monthly real price of carbon in the European Union Emissions Trading System (EU ETS). We show that Bayes…