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- W2382747566 abstract "For the great influence of world's crude oil market on China,this paper studies WTI and Europe Brent crude oil market empirically with GARCH model to estimate the market risk.The results show a lower failure rate at 99% of confidence level in the GED distribution compared with the other two distribution assumptions,so GED distribution can better describe the fat tails of crude oil.Normal distribution is also able to measure world crude oil market risk,although it may lead to underestimation.However,Student's t-distribution is too conservative and is only suitable for severely volatile period.In WTI market,conditional volatility is greater than that in Brent market,and so is the largest VaR in the study period,thus the extreme risk events more likely happen.On the contrary,in Brent market,the failure rate is much higher than that in WTI at 95% of confidence level,which means higher frequency in the occurrence of risk events." @default.
- W2382747566 created "2016-06-24" @default.
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- W2382747566 date "2010-01-01" @default.
- W2382747566 modified "2023-09-27" @default.
- W2382747566 title "GARCH Model Based WTI and Brent Crude Oil Price Risk Analysis" @default.
- W2382747566 hasPublicationYear "2010" @default.
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