A new methodology for carbon price forecasting in EU ETS

Sung Kwon Han, Jae Joon Ahn, Kyong Joo Oh, Tae Yoon Kim

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This paper proposes a new methodology for carbon price forecasting. It posits a finite distributed lag (FDL) model and then applies a GA-ridge algorithm to determine a set of proper predictors with coefficient estimates. An empirical study was conducted in the European Union Greenhouse Gas Emissions Trading market, revealing that our methodology not only yields good forecasting results but also provides some interesting analysis on the carbon price market. It turns out that the combination of the FDL model and GA-ridge algorithm is desirable for forecasting and analyzing the complicated carbon price market because of its capability of selecting proper predictors from a class of predictors of itself.

Original languageEnglish
Pages (from-to)228-243
Number of pages16
JournalExpert Systems
Volume32
Issue number2
DOIs
Publication statusPublished - 2015 Apr 1

Fingerprint

Forecasting
Predictors
Carbon
Ridge
Methodology
Coefficient Estimates
Greenhouse Gases
Gas emissions
Greenhouse gases
Empirical Study
Union
Model
Market
Gas
Class
European Union

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Theoretical Computer Science
  • Computational Theory and Mathematics
  • Artificial Intelligence

Cite this

Han, Sung Kwon ; Ahn, Jae Joon ; Oh, Kyong Joo ; Kim, Tae Yoon. / A new methodology for carbon price forecasting in EU ETS. In: Expert Systems. 2015 ; Vol. 32, No. 2. pp. 228-243.
@article{58f88a7c12154d539db4dadbcccd8869,
title = "A new methodology for carbon price forecasting in EU ETS",
abstract = "This paper proposes a new methodology for carbon price forecasting. It posits a finite distributed lag (FDL) model and then applies a GA-ridge algorithm to determine a set of proper predictors with coefficient estimates. An empirical study was conducted in the European Union Greenhouse Gas Emissions Trading market, revealing that our methodology not only yields good forecasting results but also provides some interesting analysis on the carbon price market. It turns out that the combination of the FDL model and GA-ridge algorithm is desirable for forecasting and analyzing the complicated carbon price market because of its capability of selecting proper predictors from a class of predictors of itself.",
author = "Han, {Sung Kwon} and Ahn, {Jae Joon} and Oh, {Kyong Joo} and Kim, {Tae Yoon}",
year = "2015",
month = "4",
day = "1",
doi = "10.1111/exsy.12084",
language = "English",
volume = "32",
pages = "228--243",
journal = "Expert Systems",
issn = "0266-4720",
publisher = "Wiley-Blackwell",
number = "2",

}

A new methodology for carbon price forecasting in EU ETS. / Han, Sung Kwon; Ahn, Jae Joon; Oh, Kyong Joo; Kim, Tae Yoon.

In: Expert Systems, Vol. 32, No. 2, 01.04.2015, p. 228-243.

Research output: Contribution to journalArticle

TY - JOUR

T1 - A new methodology for carbon price forecasting in EU ETS

AU - Han, Sung Kwon

AU - Ahn, Jae Joon

AU - Oh, Kyong Joo

AU - Kim, Tae Yoon

PY - 2015/4/1

Y1 - 2015/4/1

N2 - This paper proposes a new methodology for carbon price forecasting. It posits a finite distributed lag (FDL) model and then applies a GA-ridge algorithm to determine a set of proper predictors with coefficient estimates. An empirical study was conducted in the European Union Greenhouse Gas Emissions Trading market, revealing that our methodology not only yields good forecasting results but also provides some interesting analysis on the carbon price market. It turns out that the combination of the FDL model and GA-ridge algorithm is desirable for forecasting and analyzing the complicated carbon price market because of its capability of selecting proper predictors from a class of predictors of itself.

AB - This paper proposes a new methodology for carbon price forecasting. It posits a finite distributed lag (FDL) model and then applies a GA-ridge algorithm to determine a set of proper predictors with coefficient estimates. An empirical study was conducted in the European Union Greenhouse Gas Emissions Trading market, revealing that our methodology not only yields good forecasting results but also provides some interesting analysis on the carbon price market. It turns out that the combination of the FDL model and GA-ridge algorithm is desirable for forecasting and analyzing the complicated carbon price market because of its capability of selecting proper predictors from a class of predictors of itself.

UR - http://www.scopus.com/inward/record.url?scp=85027940555&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85027940555&partnerID=8YFLogxK

U2 - 10.1111/exsy.12084

DO - 10.1111/exsy.12084

M3 - Article

VL - 32

SP - 228

EP - 243

JO - Expert Systems

JF - Expert Systems

SN - 0266-4720

IS - 2

ER -