A multi-model approach for describing crude oil price dynamics

Bernabe, Araceli; Martina, Esteban; Alvarez-Ramı́rez, José; Ibarra-Valdez, Carlos

doi:10.1016/j.physa.2004.03.007

Cited by 28 publications

(13 citation statements)

References 14 publications

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“…The multi scale wavelet based approaches achieve performance improvement through finer process modeling at each individual scales. [43], [44], [45]. This is confirmed by results from empirical studies in both electricity and energy markets.…”

Section: Wavelet Applications In Economics and Financesupporting

confidence: 65%

Market Risk Measurement for Crude Oil: A Wavelet Based VaR Approach

Lai

Xie

et al. 2006

The 2006 IEEE International Joint Conference on Neural Network Proceedings

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Abstract-With the development of technology and financial engineering tools, oil markets are more competitive and volatile than ever before. This places the accurate and reliable measurement of market risks in the crucial position for both investment decision and hedging strategy designs. This paper tackles the measurement of risks from a Value at Risk (VaR) perspective. Since traditional ARMA-GARCH approach doesn't suffice, this paper proposes ex-ante based approach for hybrid algorithm design and further applies this methodology with a wavelet approach to VaR estimates. Empirical studies of the proposed Wavelet Decomposed Value at Risk (WDVaR) have been conducted on two major oil markets (I.e. WTI & Brent). Experiment results suggest that the performance of WDVaR improves upon ARMA-GARCH model at higher confidence levels. Meanwhile, WDVaR offer considerable flexibility during modeling process. WDVaR can be tailored to specific market characteristics and its performance can be further improved with more careful parameter tuning.

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Section: Wavelet Applications In Economics and Financesupporting

confidence: 65%

Market Risk Measurement for Crude Oil: A Wavelet Based VaR Approach

Lai

Xie

et al. 2006

The 2006 IEEE International Joint Conference on Neural Network Proceedings

View full text Add to dashboard Cite

show abstract

“…Consistent with this situation, until very recently most energy analysts expected oil prices to remain at rather low levels during the next decades (e.g. Bernabe et al, 2004;IEA, 2007;Odell, 2004). As a result, most of the analysis of greenhouse gas emissions and mitigation potentials used in IPCC's Fourth Assessment Report, for instance, have considered oil prices in the order of 60 $/bbl or lower (Fisher et al, 2007).…”

Section: Literature On Oil Price Projections and Impactsmentioning

confidence: 96%

Oil and natural gas prices and greenhouse gas emission mitigation

Ruijven

Vuuren

2009

Energy Policy

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“…Many empirical and theoretical researches then seek to find out the market multifractality formation. It is now widely acknowledged that there are two major sources of multifractality, that is, fat-tailed probability distribution and nonlinear temporal correlation [15][16][17][18][19].…”

Section: Introductionmentioning

confidence: 99%

Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives

Chen

2010

Physica A: Statistical Mechanics and its Applications

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A multi-model approach for describing crude oil price dynamics

Cited by 28 publications

References 14 publications

Market Risk Measurement for Crude Oil: A Wavelet Based VaR Approach

Market Risk Measurement for Crude Oil: A Wavelet Based VaR Approach

Oil and natural gas prices and greenhouse gas emission mitigation

Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives

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