Ask CARL: Forecasting tail probabilities for energy commodities
Sign Up to like & getrecommendations! 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… read more here.
Keywords: ask carl; energy commodities; carl models; tail probabilities ... See more keywords
Energy and non-energy commodities: An asymmetric approach towards portfolio diversification in the commodity market
Sign Up to like & getrecommendations! Published in 2019 at "Resources Policy"
DOI: 10.1016/j.resourpol.2019.101456
Abstract: Abstract We investigate the presence of short- and long-run asymmetric relationships between energy and non-energy commodities for weekly data from January 2010 to June 2018. Using the non-linear ARDL methodology, we show that oil prices… read more here.
Keywords: diversification; non energy; energy commodities; oil ... See more keywords
Counterfactual shock in energy commodities affects stock market dynamics: Evidence from the United States
Sign Up to like & getrecommendations! Published in 2021 at "Resources Policy"
DOI: 10.1016/j.resourpol.2021.102083
Abstract: Abstract Volatilities in the stock market are due to fluctuations in essential energy commodities. This in effect underpins the impact of short- and long-run prices on producers, consumers, portfolio managers, and policymakers. To understand the… read more here.
Keywords: energy commodities; price; index; stock market ... See more keywords
Energy commodities spillover analysis for assessing the functioning of the European Union Emissions Trading System trade network of carbon allowances
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DOI: 10.1038/s41598-024-72518-5
Abstract: The European Union Emissions Trading System (EU ETS) is designed to promote carbon reduction in a cost-effective and economically efficient manner. To meet their compliance requirements, participants within the EU ETS can either invest in… read more here.
Keywords: carbon; energy; energy commodities; analysis ... See more keywords
Using machine learning to forecast clean energy, commodities, green bonds and ESG index prices: How important is financial stress?
Sign Up to like & getrecommendations! Published in 2024 at "EuroMed Journal of Business"
DOI: 10.1108/emjb-12-2023-0341
Abstract: PurposeThis study investigates clean energy, commodities, green bonds and environmental, social and governance (ESG) index prices forecasting and assesses the predictive performance of various factors on these asset prices, used for the development of a… read more here.
Keywords: financial stress; energy commodities; model; index ... See more keywords
Stationarity in the Prices of Energy Commodities. A Nonparametric Approach
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DOI: 10.3390/en14113324
Abstract: In this paper, we address the classical problem of testing for stationarity in the prices of energy-related commodities. A panel of fourteen time series of monthly prices is analyzed for the 1980–2020 period. Nine of… read more here.
Keywords: stationarity prices; energy commodities; commodities nonparametric; stationarity ... See more keywords
Heterogeneous Responses of Energy and Non-Energy Assets to Crises in Commodity Markets
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DOI: 10.3390/en17215438
Abstract: In this study, we investigate the heterogeneity in energy and non-energy commodities by analyzing their four realized moments: returns, realized volatility, realized skewness and realized kurtosis. Utilizing monthly data, we examine two commodity categories over… read more here.
Keywords: energy non; non energy; energy; energy commodities ... See more keywords