.We then elaborate the expectation that the risk linked to the uncertainty intrinsic to weather forecasts will be rewarded by … market forces. We identify a novel and material “extreme weather forecast” risk premium which outperforms the S&P500 on both … an absolute and a risk adjusted basis. Our results, which have never previously been described in literature, are …

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil …, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered …