Abstract
For better estimation of the impact of extreme events on crude oil price volatility, an EMD-based event analysis approach is proposed. In this method, the time series to be analyzed is first decomposed into several intrinsic modes with different time scales from fine-to-coarse and an average trend. The decomposed modes respectively capture the fluctuations caused by the extreme event or other factors during the analyzed period. The total impact of an extreme event is included in only one or several dominant modes, but other modes provide valuable information for subsequent factors. The effects of financial crisis of 2007-2008 to crude oil price are analyzed through this method and empirical results reveal that the EMD-based event analysis method provides a feasible solution to estimating the impact of extreme events on crude oil prices.
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