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The behavior of oil futures returns around OPEC conferences

✍ Scribed by Richard Deaves; Itzhak Krinsky

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 731 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120507

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## Abstract The literature on the tail behavior of asset prices focuses mainly on the foreign exchange and stock markets, with only a few articles dealing with bonds or bond futures. The present article addresses this omission. It focuses on three questions using extreme value analysis: (a) Does th