Is There Any Black Swan Hidden in the Oil Markets?
Aboura, Sofiane (2012-10), Is There Any Black Swan Hidden in the Oil Markets?. https://basepub.dauphine.fr/handle/123456789/13838
TypeDocument de travail / Working paper
Lien vers un document non conservé dans cette basehttp://dx.doi.org/10.2139/ssrn.2161337
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Dauphine Recherches en Management [DRM]
Résumé (EN)Since the last three decades, advanced economies have been facing a substantial rise not only in the crude oil price but also in the oil price volatility. Quantifying the tail risk has become a prominent issue for investment decisions and risk management. This article reveals the existence of a tail risk hidden in the oil market by applying, for the first time, an extreme value theory analysis with a quantile regression procedure. An empirical test is carried out on the daily West Texas Intermediate (WTI) crude oil prices from 1983 to 2011. The main results indicate that the WTI becomes extreme from a daily variation of 3.50% and -2.50%. In addition, the maximum one-day variation which should be exceeded in one year every century is 20% and -30%.
Mots-clésCrude Oil market; Volatility; Risk Management
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