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type="main" xml:id="sjos12051-abs-0001" <title type="main">ABSTRACT</title>This paper presents a hierarchical approach to modelling extremes of a stationary time series. The procedure comprises two stages. In the first stage, exceedances over a high threshold are modelled through a generalized Pareto distribution, which...
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Purpose: The purpose of this paper is to investigate whether management strategies implemented by non-commercial traders may be identified as a key factor in affecting oil price paths in the conventional pre- and post-financialization periods. Design/methodology/approach: By using a vector...
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