Crude oil price analysis and forecasting: A perspective of "new triangle"
文献类型：期刊论文
| 作者 | Lu, Quanying1; Li, Yuze2,3; Chai, Jian4; Wang, Shouyang1,2 |
| 刊名 | ENERGY ECONOMICS
 |
| 出版日期 | 2020-03-01 |
| 卷号 | 87页码:14 |
| ISSN号 | 0140-9883 |
| 关键词 | Crude oil Dynamic Bayesian structural time series model Google trend Kalman filtering Spike and slab prior Bayesian model average |
| DOI | 10.1016/j.eneco.2020.104721 |
| 英文摘要 | In this paper, the new structural characteristics and core influencing factors of the crude oil prices are summarized based on previous representative research results. Firstly, a newly dynamic Bayesian structural time series model (DBSTS) is developed to investigate the oil prices. In particular, Google trend is introduced as an indicator to reflect the impact of search data on the oil price. Secondly, the spike and slab method is employed to select core influence factors. Finally, the Bayesian model average (BMA) is utilized to predict the oil price. Experimental results confirm that the supply and demand of global crude oil and the financial market are still the main factors affecting the oil price. Furthermore, Google trend can reflect the changes in the crude oil price to a certain extent. Moreover, the impact of shale oil production on the oil price is gradually increasing, yet remains relatively small. In addition, the DBSTS model can identify turning points in historical data (such as the 2008 financial crisis). Finally, the findings suggest the DBSTS model has good predictive capabilities in short-term prediction, making it suitable for analyzing the crude oil prices. (C) 2020 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[71874133] ; Youth Top-notch Talent Support Program of Shaanxi Province, China |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| 出版者 | ELSEVIER |
| WOS记录号 | WOS:000536091600030 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/51530]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Chai, Jian; Wang, Shouyang |
| 作者单位 | 1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Math Sci, Beijing 110190, Peoples R China 4.Xidian Univ, Sch Econ & Management, Xian 710126, Peoples R China |
| 推荐引用方式 GB/T 7714 | Lu, Quanying,Li, Yuze,Chai, Jian,et al. Crude oil price analysis and forecasting: A perspective of "new triangle"[J]. ENERGY ECONOMICS,2020,87:14. |
| APA | Lu, Quanying,Li, Yuze,Chai, Jian,&Wang, Shouyang.(2020).Crude oil price analysis and forecasting: A perspective of "new triangle".ENERGY ECONOMICS,87,14. |
| MLA | Lu, Quanying,et al."Crude oil price analysis and forecasting: A perspective of "new triangle"".ENERGY ECONOMICS 87(2020):14. |
入库方式： OAI收割
来源：数学与系统科学研究院
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