Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method

doi:10.1016/j.eneco.2009.04.003

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	Estimating the impact of extreme events on crude oil price: An EMD-based event analysis method
	Zhang, Xun 1,2; Yu, Lean 1; Wang, Shouyang1,2 ; Lai, Kin Keung 3
	2009-09-01
发表期刊	ENERGY ECONOMICS
ISSN	0140-9883
卷号	31 期号:5 页码:768-778
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.
关键词	Crude oil price Event analysis Empirical mode decomposition Impact of extreme events
DOI	10.1016/j.eneco.2009.04.003
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000268923000014
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8379
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.