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
SOME NEW BOUNDS AND APPROXIMATIONS ON TAIL PROBABILITIES OF THE POISSON AND OTHER DISCRETE DISTRIBUTIONS
Sign Up to like & getrecommendations! Published in 2020 at "Probability in the Engineering and Informational Sciences"
DOI: 10.1017/s0269964818000347
Abstract: Abstract In this paper, we discuss new bounds and approximations for tail probabilities of certain discrete distributions. Several different methods are used to obtain bounds and/or approximations. Excellent upper and lower bounds are obtained for… read more here.
Keywords: probabilities poisson; approximations tail; new bounds; tail probabilities ... See more keywords