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...
