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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
Springer Verlag
2015
|
| Subjects: | |
| Online Access: | http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=84919372650&origin=inward http://cmuir.cmu.ac.th/handle/6653943832/39147 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |