Extreme Value Theory and Value at Risk: Application to oil market

@inproceedings{Marimoutou2009ExtremeVT,
  title={Extreme Value Theory and Value at Risk: Application to oil market},
  author={Velayoudoum Marimoutou and Bechir Raggad and Abdelwahed Trabelsi},
  year={2009}
}
Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity. Oil markets have become relatively free, resulting in a high degree of oil-price volatility and generating radical changes to world energy and oil industries. As a result oil markets are naturally vulnerable to significant negative volatility. An example of… CONTINUE READING

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