Time-varying rare disaster risks, oil returns and volatility

© 2018 Elsevier B.V. This paper provides a novel perspective to the predictive ability of rare disaster risks for West Texas Intermediate (WTI) oil market returns and volatility using a nonparametric quantile-based methodology over the monthly period of 1918:01–2013:12. We show that a nonlinear rela...

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Bibliographic Details

Main Authors:	Riza Demirer, Rangan Gupta, Tahir Suleman, Mark Wohar
Format:	Default Article
Published:	2018
Subjects:	Other commerce, management, tourism and services not elsewhere classified Mechanical engineering not elsewhere classified Oil returns and volatility Rare disasters Nonparametric quantile causality Mechanical Engineering Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/35674
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