Forecasting commodity prices returns: The role of partial least squares approach

Chufu Wen, Haoyang Zhu and Zhifeng Dai

Energy Economics, 2023, vol. 125, issue C

Abstract: This paper put forwards a novel aligned technical index, which eliminates a common noise component in technical indicators by employing the partial least squares (PLS) method, to investigate the predictability of commodity price returns.

Keywords: Commodity price returns; Partial least squares; Technical indicators; Out-of-sample forecast (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003237

DOI: 10.1016/j.eneco.2023.106825

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