Article

Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method

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The impact of extreme events on crude oil markets is of great importance in crude oil price analysis due to the fact that those events generally exert strong impact on crude oil markets. For better estimation of the impact of events on crude oil price volatility, this study attempts to use an EMD-based event analysis approach for this task. In the proposed method, the time series to be analyzed is first decomposed into several intrinsic modes with different time scales from fine-to-coarse and an average trend. The
ecomposed modes respectively capture the fluctuations caused by the extreme event or other factors during the analyzed period. It is found that the total impact of an extreme event is included in only one or several dominant modes, but the secondary modes provide valuable information on subsequent factors. For overlapping events with influences lasting for different periods, their impacts are separated and located in different modes. For illustration and verification purposes, two extreme events, the Persian Gulf War in 1991 and the Iraq War in 2003, are analyzed step by step. The empirical results reveal that the EMD-based event analysis method provides a feasible solution to estimating the impact of extreme events on crude oil prices variation.

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Ketersediaan

Informasi Detail

Judul Seri

Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method

No. Panggil

ATC PO XUN a

Penerbit

Hongkong : Elsevier., 2009

Deskripsi Fisik

11 halaman

Bahasa

English

ISBN/ISSN

-

Klasifikasi

ATC

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

online resource

Edisi

Energy Economics

Subjek

Material Management
Wealth Management
System Information Management

Info Detail Spesifik

11 halaman

Pernyataan Tanggungjawab

Xun Zhang

Versi lain/terkait

Lampiran Berkas

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