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
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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
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