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The reliability of the estimation of the GEV return level: A comparative study based on Spot Crude Oil Price: West Texas Intermediate

Bouchra Labloul, Saad Elouardirhi

Abstract



A lot of work has developed the estimated return level for linear normalization in the extreme value theory (EVT). We propose in this article a theoretical approach based on the von Mises distribution to estimate the return level for the EVT in the case of the exponential normalization. An numerical approaches based on an algorithm have been developed to estimate the extreme quantiles of GEV models in the case of linear and exponential normalization. The results show that the exponential normalization model (GEVE) provide more realistic estimations of return periods. The finding was highlighted in working with the Spot Crude Oil Price: West Texas Intermediate and the parameters are estimated by the maximum likelihood method.

Keywords


extreme value theory , linear normalization, exponential normalization, return period of pricing, extreme quantiles.

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