@inproceedings{209dcea7d6854209882a08b2d1dccde1,
title = "Oil price volatility and change point analysis",
abstract = "This article established the SV-MTVP (time-varying parameters of SV-M model) model to describe the crude oil price volatility. Based on Bayesian principle, this paper used of the MCMC methods to estimate the parameter of the SV-MTVP model. And then established the MS model and analyzed the change-point of crude oil price volatility which based on the estimated results of the time-varying parameters. The results showed that the SV-MTVP model can portray the volatility characteristics of crude oil spot market better compared with the common SV model, and give a good assessment of the common used models; At the same time, the timevarying parameters can be combined with MS model to analyze the incidents and their impact on the crude oil price volatility.",
author = "Jian Chai and Ju'e Guo and Wang, \{Shou Yang\} and Li, \{Hong Quan\}",
year = "2009",
doi = "10.1109/CSO.2009.382",
language = "英语",
isbn = "9780769536057",
series = "Proceedings of the 2009 International Joint Conference on Computational Sciences and Optimization, CSO 2009",
pages = "475--479",
booktitle = "Proceedings of the 2009 International Joint Conference on Computational Sciences and Optimization, CSO 2009",
note = "2009 International Joint Conference on Computational Sciences and Optimization, CSO 2009 ; Conference date: 24-04-2009 Through 26-04-2009",
}