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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

Type
Document de travail / Working paper
External document link
http://dx.doi.org/10.2139/ssrn.2161337
Date
2012-10
Pages
11
Metadata
Show full item record
Author(s)
Aboura, Sofiane
Dauphine Recherches en Management [DRM]
Abstract (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%.
Subjects / Keywords
Crude Oil market; Volatility; Risk Management
JEL
C40 - General
G10 - General

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