Estimating oil price value at risk using belief functions

• Main Authors: Phochanachan,P., Sirisrisakulchai,J., Sriboonchitta,S.
• Format: Article
• Published: Springer Verlag 2015
• Subjects: Artificial Intelligence
• Online Access: http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=84919372650&origin=inward; http://cmuir.cmu.ac.th/handle/6653943832/39147
• Institution: Chiang Mai University

© 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...