Analysis of Extreme Values of Daily Percentage Increases and Decreases in Crude Oil Spot Prices

Title & Authors
Analysis of Extreme Values of Daily Percentage Increases and Decreases in Crude Oil Spot Prices
Yun, Seok-Hoon;

Abstract
Tools for statistical analysis of extreme values include the classical annual maximum method, the modern threshold method and variants improving the second one. While the annual maximum method is to t th generalized extreme value distribution to the annual maxima of a time series, the threshold method is to the generalized Pareto distribution to the excesses over a high threshold from the series. In this paper we deal with the Poisson-GPD method, a variant of the threshold method with a further assumption that the total number of exceedances follows the Poisson distribution, and apply it to the daily percentage increases and decreases computed from the spot prices of West Texas Intermediate, which were collected from January 4th, 1988 until December 31st, 2009. According to this analysis, the distribution of daily percentage increases as well as decreases turns out to have a heavy tail, unlike the normal distribution, which coincides well with the general phenomenon appearing in the analysis of lots of nowaday nancial data.
Keywords
Extreme value theory;Poisson-GPD method;crude oil spot price;West Texas Intermediate;
Language
Korean
Cited by
1.
코스피 지수 자료의 베이지안 극단값 분석,윤석훈;

응용통계연구, 2011. vol.24. 5, pp.833-845
2.
정상시계열에서의 극단값 모형 및 다우존스산업평균지수에의 응용,윤석훈;

Journal of the Korean Data Analysis Society, 2012. vol.14. 5, pp.2487-2497
1.
A Bayesian Extreme Value Analysis of KOSPI Data, Korean Journal of Applied Statistics, 2011, 24, 5, 833
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