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Risk premia in electricity derivatives markets

Algieri, Bernardina; Leccadito, Arturo; Tunaru, Diana - In: Energy economics 100 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012990257

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

Assessing contagion risk from energy and non-energy commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Energy economics 62 (2017), pp. 312-322

Persistent link: https://www.econbiz.de/10011748149

Message in a bottle : forecasting wine prices

Algieri, Bernardina; Iania, Leonardo; Leccadito, Arturo; … - In: Journal of wine economics 19 (2024) 1, pp. 64-91

Can we predict fine wine and alcohol prices? Yes, but it depends on the forecasting horizon. We make this point by considering the Liv-ex Fine Wine 100 and 50 Indices, the retail and wholesale alcohol prices in the United States for the period going from January 1992 to March 2022. We use rich...

Persistent link: https://www.econbiz.de/10014636859