Has the Last Super Cycle in Crude Oil Price Ended? A Maximum Drawdown Approach using Fractional Brownian Motion

Vardar Acar C., Ünalmış İ., Erdem Küçükbıçakcı F. P.

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, cilt.1, sa.1, ss.1-22, 2024 (SCI-Expanded)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 1 Sayı: 1
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1002/asmb.2905
  • Dergi Adı: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Aerospace Database, Business Source Elite, Business Source Premier, Communication Abstracts, Compendex, INSPEC, Metadex, zbMATH, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.1-22
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

Has the Last Super Cycle in Crude Oil Price Ended? A Maximum Drawdown Approach using Fractional Brownian Motion