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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

Ask CARL : forecasting tail probabilities for energy commodities

Algieri, Bernardina; Leccadito, Arturo - In: Energy economics 84 (2019), pp. 1-17

Persistent link: https://www.econbiz.de/10012183384

Computationally simple lattice methods for option and bond pricing

Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar - In: Decisions in economics and finance : DEF ; a journal of … 32 (2009) 2, pp. 161-181

Persistent link: https://www.econbiz.de/10003893191

Trading strategies with implied forward credit default swap spreads

Leccadito, Arturo; Tunaru, Radu; Urga, Giovanni - In: Journal of banking & finance 58 (2015), pp. 361-375

Persistent link: https://www.econbiz.de/10011544021

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

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

Price Volatility, Speculation and Excessive Speculation in Commodity Markets : Sheep or Shepherd Behaviour?

Algieri, Bernardina - 2012

The present study aims to investigate the dynamics of primary commodity prices and the role of speculation over time. In particular the relationship between speculation and price volatility on the one side, and the linkage between excessive speculation and price volatility on the other side, is...

Persistent link: https://www.econbiz.de/10013105680

Stock market volatility, speculation and unemployment : a Granger-causality analysis

Algieri, Bernardina; Brancaccio, Emiliano; Buonaguidi, … - In: PSL quarterly review 73 (2020) 293, pp. 137-160

This study investigates the possible Granger-causal relations between stock price volatility and dividend dynamics on the one hand, and speculation and unemployment on the other. The analysis is carried out for the US over the period 1982-2018. Stock price volatility is calculated in terms of...

Persistent link: https://www.econbiz.de/10012288289