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Published in 2019 at "Energy Economics"
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…
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Keywords:
ask carl;
energy commodities;
carl models;
tail probabilities ... See more keywords