Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method
文献类型：期刊论文
| 作者 | Zhang, Xun1,2; Yu, Lean1; Wang, Shouyang1,2 ; Lai, Kin Keung3
|
| 刊名 | ENERGY ECONOMICS
 |
| 出版日期 | 2009-09-01 |
| 卷号 | 31期号:5页码:768-778 |
| 关键词 | Crude oil price Event analysis Empirical mode decomposition Impact of extreme events |
| ISSN号 | 0140-9883 |
| DOI | 10.1016/j.eneco.2009.04.003 |
| 英文摘要 | The impact of extreme events on crude oil markets is of great importance in crude oil price analysis due to the fact that those events generally exert strong impact on crude oil markets. For better estimation of the impact of events on crude oil price volatility, this study attempts to use an EMD-based event analysis approach for this task. In the proposed method, the time series to be analyzed is first decomposed into several intrinsic modes with different time scales from fine-to-coarse and an average trend. The decomposed modes respectively capture the fluctuations caused by the extreme event or other factors during the analyzed period. It is found that the total impact of an extreme event is included in only one or several dominant modes, but the secondary modes provide valuable information on subsequent factors. For overlapping events with influences lasting for different periods, their impacts are separated and located in different modes. For illustration and verification purposes, two extreme events, the Persian Gulf War in 1991 and the Iraq War in 2003, are analyzed step by step. The empirical results reveal that the EMD-based event analysis method provides a feasible solution to estimating the impact of extreme events on crude oil prices variation. (C) 2009 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000268923000014 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/8378]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Wang, Shouyang |
| 作者单位 | 1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Grad Univ, Sch Math Sci, Beijing 100190, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhang, Xun,Yu, Lean,Wang, Shouyang,et al. Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method[J]. ENERGY ECONOMICS,2009,31(5):768-778. |
| APA | Zhang, Xun,Yu, Lean,Wang, Shouyang,&Lai, Kin Keung.(2009).Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method.ENERGY ECONOMICS,31(5),768-778. |
| MLA | Zhang, Xun,et al."Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method".ENERGY ECONOMICS 31.5(2009):768-778. |
入库方式： OAI收割
来源：数学与系统科学研究院
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