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Are crude oil and natural gas extreme prices interdependent?
2018
Journal of Physics, Conference Series
We investigated the relationship between extreme prices of crude oil and natural gas. We found evidence that extreme events in these markets are interdependent and exhibit a selfexcited dynamic behavior, where the intensity of extreme events in the oil market influences the occurrence rate and magnitude of extreme events in the natural gas market. In addition, we have determined that it is possible to better manage the Value-at-Risk, when both markets interact.
doi:10.1088/1742-6596/1053/1/012112
fatcat:ry44sht4rnegzexhupe7vhkmh4