SSRN Author: Chi-Hin CheungChi-Hin Cheung SSRN Content
https://privwww.ssrn.com/author=4044104
https://privwww.ssrn.com/rss/en-usThu, 16 Jul 2020 01:10:28 GMTeditor@ssrn.com (Editor)Thu, 16 Jul 2020 01:10:28 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0New: Crude Oil Price Dynamics With Crash Risk Under Fundamental ShocksOur paper presents a crude oil price model in which the price is confined in a wide moving band. A price crash occurs when the price breaches the lower boundary where a smooth-pasting condition is imposed. Using an asymmetric mean-reverting fundamental (supply/demand) shock, the solution derived from the oil price equation for the model shows the oil price follows a mean-reverting square-root process, which is quasi-bounded at the boundary. The oil price dynamics generates left-skewed price distributions consistent with empirical observations. A weakened mean-reverting force for the price increases the probability leakage for the price across the boundary and the risk of a price crash. The empirical results show the oil price dynamics can be calibrated according to the model, where the mean reversion of the price dynamics is positively co-integrated with the oil production reaction to negative demand shocks, and with the risk reversals of the commodity currencies, the Canadian dollar ...
https://privwww.ssrn.com/abstract=3632824
https://privwww.ssrn.com/1921279.htmlWed, 15 Jul 2020 09:11:06 GMTREVISION: Crude Oil Price Dynamics with Crash Risk Under Fundamental ShocksOur paper presents a crude oil price model in which the price is confined in a wide moving band. A price crash occurs when the price breaches the lower boundary where a smooth-pasting condition is imposed. Using an asymmetric mean-reverting fundamental (supply/demand) shock, the solution derived from the oil price equation for the model shows the oil price follows a mean-reverting square-root process, which is quasi-bounded at the boundary. The oil price dynamics generates left-skewed price distributions consistent with empirical observations. A weakened mean-reverting force for the price increases the probability leakage for the price across the boundary and the risk of a price crash. The empirical results show the oil price dynamics can be calibrated according to the model, where the mean reversion of the price dynamics is positively co-integrated with the oil production reaction to negative demand shocks, and with the risk reversals of the commodity currencies, the Canadian dollar ...
https://privwww.ssrn.com/abstract=3550929
https://privwww.ssrn.com/1918250.htmlWed, 08 Jul 2020 08:48:11 GMTREVISION: Crude Oil Price Dynamics with Crash Risk Under Fundamental ShocksOur paper presents a crude oil price model in which the price is confined in a wide moving band. A price crash occurs when the price breaches the lower boundary where a smooth-pasting condition is imposed. Using an asymmetric mean-reverting fundamental (supply/demand) shock, the solution derived from the oil price equation for the model shows the oil price follows a mean-reverting square-root process, which is quasi-bounded at the boundary. The oil price dynamics generates left-skewed price distributions consistent with empirical observations. A weakened mean-reverting force for the price increases the probability leakage for the price across the boundary and the risk of a price crash. The empirical results show the oil price dynamics can be calibrated according to the model, where the mean reversion of the price dynamics is positively co-integrated with the oil production reaction to negative demand shocks, and with the risk reversals of the commodity currencies, the Canadian dollar ...
https://privwww.ssrn.com/abstract=3550929
https://privwww.ssrn.com/1905126.htmlFri, 05 Jun 2020 08:33:38 GMTREVISION: Crude Oil Price Dynamics with Crash Risk Under Fundamental ShocksOur paper presents a crude oil price model in which the price is confined in a wide moving band. A price crash occurs when the price breaches the lower boundary where a smooth-pasting condition is imposed. Using an asymmetric mean-reverting fundamental (supply/demand) shock, the solution derived from the oil price equation for the model shows the oil price follows a mean-reverting square-root process, which is quasi-bounded at the boundary. The oil price dynamics generates left-skewed price distributions consistent with empirical observations. A weakened mean-reverting force for the price increases the probability leakage for the price across the boundary and the risk of a price crash. The empirical results show the oil price dynamics can be calibrated according to the model, where the mean reversion of the price dynamics is positively co-integrated with the oil production reaction to negative demand shocks, and with the risk reversals of the commodity currencies, the Canadian dollar ...
https://privwww.ssrn.com/abstract=3550929
https://privwww.ssrn.com/1887290.htmlFri, 17 Apr 2020 17:55:58 GMT