Ask CARL: Forecasting tail probabilities for energy commodities
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DOI: 10.1016/j.eneco.2019.104497
Abstract: Abstract We use a set of conditional auto-regressive logit (CARL) models to predict tail probabilities for returns calculated from futures of four energy commodities. We show that CARL models are very useful to forecast the… read more here.
Keywords: ask carl; energy commodities; carl models; tail probabilities ... See more keywords