We consider extreme value theory to study extreme price movements in crude oil market. Autoregressive-Moving-Average models are developed to describe daily log return of crude oil price. Peak-over-thresholdmodels are then used to model the log return forecasting errors (residuals). The maximum residuals are expressed in terms of value-at-risk or return level corresponding to accepted levels of risk so that appropriate risk measures can be taken. A likelihood-based belief function is constructed to quantify estimation uncertainty. As a result, we can assess the plausibility of various assertions about the value-at-risk of the idiosyncratic shocks in the world crude oil market.
CITATION STYLE
Phochanachan, P., Sirisrisakulchai, J., & Sriboonchitta, S. (2015). Estimating oil price value at risk using belief functions. Studies in Computational Intelligence, 583, 377–389. https://doi.org/10.1007/978-3-319-13449-9_26
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