CNOOC Oil-Following Study | Extremes + DY Regime + 2-Factor What It Does
Your indicator is a 2-factor return attribution model with extreme event analysis and dividend yield regime conditioning. It answers one core question: When oil moves — especially violently — does CNOOC follow, and does its dividend yield affect that behavior?
The Architecture
Layer 1 — Rolling 2-Factor Regression
Every week, the model runs a rolling OLS regression: CNOOC return = β₁ × Brent + β₂ × SSE50 + residual. This decomposes CNOOC's performance into three streams: what came
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