IDEAS home Printed from https://ideas.repec.org/a/taf/japsta/v41y2014i1p2-25.html
   My bibliography  Save this article

Modelling oil and gas supply disruption risks using extreme-value theory and copula

Author

Listed:
  • Nalan G�lpınar
  • Kabir Katata

Abstract

In this paper, we are concerned with modelling oil and gas supply disruption risks using extreme-value theory and copula. We analyse financial and volumetric losses due to both oil and gas supply disruptions and investigate their dependence structure using real data. In order to illustrate the impact of crude oil and natural gas supply disruptions on an energy-dependent economy, Nigeria is considered as a case study. Computational studies illustrate that the generalized extreme-value distribution anticipates higher financial losses and extreme-value copulas produce the best fit for financial and volumetric losses compared with normal copulas. Moreover, multivariate financial losses exhibit stronger positive dependence than volumetric losses.

Suggested Citation

  • Nalan G�lpınar & Kabir Katata, 2014. "Modelling oil and gas supply disruption risks using extreme-value theory and copula," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(1), pages 2-25, January.
    • Handle: RePEc:taf:japsta:v:41:y:2014:i:1:p:2-25
    DOI: 10.1080/02664763.2013.827160
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/02664763.2013.827160
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/02664763.2013.827160?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:41:y:2014:i:1:p:2-25. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.