Estimating oil price value at risk using belief functions

© Springer International Publishing Switzerland 2015. 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 re...

وصف كامل

محفوظ في:
التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: Phochanachan,P., Sirisrisakulchai,J., Sriboonchitta,S.
التنسيق: مقال
منشور في: Springer Verlag 2015
الموضوعات:
الوصول للمادة أونلاين:http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=84919372650&origin=inward
http://cmuir.cmu.ac.th/handle/6653943832/39147
الوسوم: إضافة وسم
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المؤسسة: Chiang Mai University
الوصف
الملخص:© Springer International Publishing Switzerland 2015. 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.