| 季节-谐波油价预测模型研究 |
| |
| 引用本文： | 王书平,吴振信,张蜀林.季节-谐波油价预测模型研究[J].数理统计与管理,2009,28(3). |
| |
| 作者姓名： | 王书平 吴振信 张蜀林 |
| |
| 作者单位： | 北方工业大学经济管理学院,北京,100144 |
| |
| 基金项目： | 北京市优秀人才培养资助项目，教育部人文社会科学研究青年基金 |
| |
| 摘 要： | 油价预测是能源市场研究的一个重要领域.本文基于季节调整技术和周期性分析技术,提出了一个新的预测模型-季节-谐波模型,其思路是分解-组合.通过对五种油品(WTI原油、Brent原油、无铅汽油、柴油和取暖油)价格的实证分析,与其它五种方法(ARIMA模型、指数平滑、Winters方法、EGARCH模型和逐步自回归)相比,季节-谐波模型取得了最好的预测效果.
|
| 关 键 词： | 季节调整 周期性分析 油价预测 季节-谐波模型 |
Research on Season-harmonic Model of Forecasting Oil Prices |
| |
| WANG Shu-ping,WU Zhen-xin,ZHANG Shu-lin.Research on Season-harmonic Model of Forecasting Oil Prices[J].Application of Statistics and Management,2009,28(3). |
| |
| Authors: | WANG Shu-ping WU Zhen-xin ZHANG Shu-lin |
| |
| Abstract: | The oil price forecasting is an important field in energy market research.The paper establishes a new model-the seaspn-harmonic model based on the seasonally adjustment technology and cyclical analysis,its idea is decomposition-combination.To five oil prices(WTI crude oil,Brent crude oil, unleaded gasoline,diesel and heating oil),empirical analysis shows that season-harmonic model obtains the best forecasting results compare to the other five methods(ARIMA model,exponential smoothing, Winters method,EGARCH model and step by step autoregression model). |
| |
| Keywords: | seasonally adjustment periodicity analysis oil price forecasting season-harmonic model |
| 本文献已被 万方数据 等数据库收录！ |
|
