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Carl and his pot : measuring risks in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Risks : open access journal 8 (2020) 1/27, pp. 1-15

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...

Persistent link: https://www.econbiz.de/10012203657

Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216

Persistent link: https://www.econbiz.de/10010510949

Value at risk and expected shortfall improved calculation based on the power transformation method

Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 67-81

Persistent link: https://www.econbiz.de/10011311416

Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - 2013

Persistent link: https://www.econbiz.de/10010440889

Multilevel and tail risk management

Khalaf, Lynda; Leccadito, Arturo; Urga, Giovanni - In: Journal of financial econometrics 20 (2022) 5, pp. 839-874

Persistent link: https://www.econbiz.de/10013460029

Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional Value-at-Risk (CVaR) constraint

Staino, Alessandro; Russo, Emilio; Costabile, Massimo; … - In: Computational management science 20 (2023) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10014228472