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Oil price volatility and change point analysis

  • Jian Chai
  • , Ju'e Guo
  • , Shou Yang Wang
  • , Hong Quan Li
  • Xi'an Jiaotong University
  • CAS - Academy of Mathematics and System Sciences

科研成果: 书/报告/会议事项章节会议稿件同行评审

摘要

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.

源语言英语
主期刊名Proceedings of the 2009 International Joint Conference on Computational Sciences and Optimization, CSO 2009
475-479
页数5
DOI
出版状态已出版 - 2009
活动2009 International Joint Conference on Computational Sciences and Optimization, CSO 2009 - Sanya, Hainan, 中国
期限: 24 4月 200926 4月 2009

出版系列

姓名Proceedings of the 2009 International Joint Conference on Computational Sciences and Optimization, CSO 2009
2

会议

会议2009 International Joint Conference on Computational Sciences and Optimization, CSO 2009
国家/地区中国
Sanya, Hainan
时期24/04/0926/04/09

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