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- W2151388269 abstract "Several times a year, OPEC hosts conferences with its members to review oil fundamentals and decide on production quota adjustments. The organization meets behind closed doors, but the opening meeting is open to the press and usually fuels market speculation on which agreement concerning oil production levels (maintain, increase, or cut) will be arrived at. The decisions taken are formally announced in a press release at the end of the conference. The purpose of our investigation is to assess the impact of OPEC announcements on the tail behavior of the distribution of crude oil price changes before and after an OPEC announcement, and in the absence of an announcement. The tail behavior is characterized by tting a generalized Pareto distribution to return data in these three situations. We nd that the pre-announcement situation is tense in the sense that the upper tail of the return distribution is heavy (thus making substantial price increases more likely), while the situation is relaxed after an announcement in the sense that the upper tail is no longer heavy. The lower tail of the return distribution is found to behave in the opposite way." @default.
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- W2151388269 date "2012-07-01" @default.
- W2151388269 modified "2023-09-27" @default.
- W2151388269 title "DOES OPEC ANNOUNCEMENT POLICY MATTER IN THE CREATION OF CRUDE OIL PRICE VOLATILITY" @default.
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