In this study, we examine the predictive value of tail risks for oil returns using the longest possible data available for the modern oil industry, i.e., 1859–2020. The Conditional Autoregressive Value at Risk (CAViaR) of ...

This paper provides a novel perspective to the predictive ability of rare disaster risks for West Texas Intermediate (WTI) oil market returns and volatility using a nonparametric quantile-based methodology over the monthly ...