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- W2383176853 abstract "The value at risk based on GARCH with GED distribution are applied on the weekly data of crude oil return from November 2001 to June 2003 to measure the extreme risk of domestic oil market in both upside and downside direction.We draw two conclusions.First,the existence of ARCH in mean effect on oil market implies that the return is positively correlated with risk.This effect also signifies the violation of efficient market hypothesis,mainly resulting from the oil pricing and circulation mechanism.Secondly,that of upside risk exceeds that of downside risk.This is due to the distinct positions of oil suppliers and consumers in oil market.Oil suppliers can utilize the market power and take advantage of the vertical integration of upstream and downstream to impute the partial downside risk to oil consumers,and in contrast,oil consumers have no effective measure to deal with the upside risk of oil price." @default.
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- W2383176853 date "2006-01-01" @default.
- W2383176853 modified "2023-09-24" @default.
- W2383176853 title "Using Value at Risk to Measure Extreme Risk in Oil Market" @default.
- W2383176853 hasPublicationYear "2006" @default.
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