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

摘要: The impact of extreme events on crude oil markets is great importance in price analysis due to the fact that those generally exert strong markets. For better estimation volatility, this study attempts use an EMD-based event approach for task. In proposed method, time series be analyzed first decomposed into several intrinsic modes with different scales from fine-to-coarse and average trend. respectively capture fluctuations caused by or other factors during period. It found total included only one dominant modes, but secondary provide valuable information subsequent factors. overlapping influences lasting periods, their impacts are separated located modes. illustration verification purposes, two events, Persian Gulf War 1991 Iraq 2003, step step. empirical results reveal method provides a feasible solution estimating prices variation.