Applying DII to EUA returns, the authors find IBEX35 and coal futures are the most robust causal drivers, with some non-linear links that Granger causality misses.
Baker, Nicholas Bloom, and Steven J
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Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance
Applying DII to EUA returns, the authors find IBEX35 and coal futures are the most robust causal drivers, with some non-linear links that Granger causality misses.