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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
dc.date.accessioned2014-08-26T14:44:08Z
dc.date.available2014-08-26T14:44:08Z
dc.date.issued2012-10
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13838
dc.language.isoenen
dc.subjectCrude Oil marketen
dc.subjectVolatilityen
dc.subjectRisk Managementen
dc.subject.ddc332en
dc.subject.classificationjelC.C4.C40en
dc.subject.classificationjelG.G1.G10en
dc.titleIs There Any Black Swan Hidden in the Oil Markets?en
dc.typeDocument de travail / Working paper
dc.description.abstractenSince 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%.en
dc.identifier.citationpages11en
dc.identifier.urlsitehttp://dx.doi.org/10.2139/ssrn.2161337en
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
hal.identifierhal-01526398*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut


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