DocumentCode :
2822391
Title :
Oil Price Volatility and Change Point Analysis
Author :
Chai, Jian ; Guo, Ju E. ; Wang, Shou-yang ; Li, Hong-quan
Author_Institution :
Sch. of Manage., Xi´´an Jiaotong Univ., Xi´´an, China
Volume :
2
fYear :
2009
fDate :
24-26 April 2009
Firstpage :
475
Lastpage :
479
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 time-varying parameters can be combined with MS model to analyze the incidents and their impact on the crude oil price volatility.
Keywords :
belief networks; crude oil; pricing; support vector machines; Bayesian principle; change point analysis; crude oil price volatility; crude oil spot market; time-varying parameters; Conference management; Economic forecasting; Fluctuations; Mathematics; Parameter estimation; Petroleum; Power generation economics; State estimation; Time series analysis; Uncertainty;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Computational Sciences and Optimization, 2009. CSO 2009. International Joint Conference on
Conference_Location :
Sanya, Hainan
Print_ISBN :
978-0-7695-3605-7
Type :
conf
DOI :
10.1109/CSO.2009.382
Filename :
5193998
Link To Document :
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