基于广义指数预报因子的石油价格预测模型

被引：10

作者：

秦鹏

缪柏其

机构：

[1] 中国科学技术大学统计与金融系

来源：

系统工程理论与实践 | 2010年 / 30卷 / 08期

关键词：

指数加权估计; 石油价格; 指数加权滑动平均; 变量筛选; 时间序列预报;

D O I：

暂无

中图分类号：

F416.22 [石油、天然气工业]; F224 [经济数学方法];

学科分类号：

020205 ; 0202 ; 0701 ; 070104 ;

摘要：

提出了两种基于广义指数预报因子模型的石油价格预测方法.该方法使用拟合期内的样本,在不同准则下选取有限个不同参数的EWMA的线性组合,作为油价的预报因子.实证分析显示,该方法的预报结果比文献中已有的结果要准确.

引用

页码：1389 / 1395

页数：7

共 5 条

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[2]

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[5]

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