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

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  • Wen, Chufu
  • Zhu, Haoyang
  • Dai, Zhifeng

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.

Suggested Citation

  • Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
    • Handle: RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003237
    DOI: 10.1016/j.eneco.2023.106825
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