Probabilistic and statistical methods in commodity risk management-Reference-Cited by-同舟云学术

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Probabilistic and statistical methods in commodity risk management

Published:2023-12-28 Issue: Volume: Page:
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl Stoch Models Bus & Ind

Author:

Antonelli Fabio¹^ORCID,Cerqueti Roy²³^ORCID,Ramponi Alessandro⁴^ORCID,Scarlatti Sergio⁴^ORCID

Affiliation:

1. Department of Engineering, Information Sciences and Mathematics University of L'Aquila L'Aquila Italy

2. Department of Social and Economic Sciences Sapienza University of Rome Rome Italy

3. GRANEM University of Angers Angers France

4. Department of Economics and Finance University of Rome Tor Vergata Rome Italy

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asmb.2841

Reference10 articles.

1. Forecasting extreme negative returns in gold and silver: A discrete‐duration approach to POT models

2. A stochastic model for evaluating the peaks of commodities' returns

3. Strategic energy flows in input‐output relations: A temporal multilayer approach

4. Sentiment‐driven mean reversion in the 4/2 stochastic volatility model with jumps

5. Assessing model risk in financial and energy markets using dynamic conditional VaRs

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