I propose a new measure of common, time-varying tail risk for large cross sections of stock returns. Stock return tails are described by a power law in which the power law exponent is allowed to transition smoothly through time as a function of recent data. It is motivated by asset pricing theory and is estimable via quasi-maximum likelihood. Estimates indicate substantial time variation in sto...

Fifty North Sea oil & gas investment transactions were analysed using traditional spreadsheet based financial modelling methods. The purpose of the analysis was to determine if there was a statistically significant relationship between the price paid for an oil & gas asset and the actual or expected financial return over the asset’s economically useful life. Several interesting and statisticall...

We analyse the impact of oil supply, global economic activity, oil-specific consumption demand and inventory shocks on state-level real housing returns United States (US) over monthly period 1975:02 to 2019:12. find that positive activity production (associated with increase decrease in prices respectively) returns. At same time, raise reduce Moreover, across shocks, strongest effect originates...

Silicone based oil is heated in the boiler of the diffusion pump and the vaporized oil rises in the central tower and streams out of directional flutes directed downward in the pump throat. This allows air molecules to dissolve in the gaseous oil (gas dissolved in gas). As the oil-air mixture cools (due to water cooling coils wrapped around the pump throat) the oil condenses and returns to liqu...

Crude oil markets are highly volatile and risky. Extreme value theory (EVT), an approach to modelling and measuring risks under rare events, has seen a more prominent role in risk management in recent years. This paper presents an application of EVT to the daily returns of crude oil prices in the Canadian spot market between 1998 and 2006. We focus on the peak over threshold method by analyzing...

We use a semiparametric GARCH-in-Mean copula model to examine the price evolution and volatility dynamics of crude oil, natural gas, hydrocarbon gas liquids markets using data from January 2002 December 2021. find that uncertainty has positive statistically significant effect on returns oil but negative ethane returns. also Frank is best describe (bivariate) dependence structures between market...

This study examines the random walk hypothesis for the crude oil markets, using daily data over the period 1982–2008. The weak-form efficient market hypothesis for two oil crude markets (UK Brent and US West Texas Intermediate) is tested with non-parametric variance ratio tests developed by Wright (2000) and Belaire-Franch and Contreras (2004) as well as the wild-bootstrap variance ratio tests ...