Determinants of high crude oil price: a nonstationary extreme value approach

DOI10.1007/S42519-019-0070-7MaRDI QIDQ2301217zbMATH OpenOpenAlexWikidataFDO

Authors Asim K. Dey, Audrene Edwards, Kumer P. Das

Publication date 24 February 2020

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42519-019-0070-7

zbMATH Keywords

extreme value theoryGranger causalityhigh crude oil priceprobability of extreme eventreturn levelsrisk ratio

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• An introduction to statistical modeling of extreme values
• Distribution of the Ratio of the Mean Square Successive Difference to the Variance
• Estimating the dimension of a model
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Testing for unit roots in autoregressive-moving average models of unknown order

Cited in

(9)

• How do mobility restrictions and social distancing during COVID-19 affect oil price?
• Predicting federal funds rate using extreme value theory
• Asymmetric effect analysis of oil price volatility on economic and environmental impacts of major oil producing countries in the ``the Belt and Road
• Fondements de la théorie des valeurs extrêmes, ses principales applications et son apport à la gestion des risques du marché pétrolier
• Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
• Did speculative activities contribute to high crude oil prices during 1993 to 2008?
• World crude oil prices impact on consumer price index
• An algorithm of nonparametric quantile regression
• The importance of supply and demand for oil prices: Evidence from non‐Gaussianity

Describes a project that uses

Uses Software

• extRemes
• ismev

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