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題名:原油價格建模與預測
書刊名:統計與資訊評論
作者:許玉雪謝沛珊
作者(外文):Hsu, EsherHsieh, Pei-shan
出版日期:2020
卷期:20
頁次:頁39-68
主題關鍵詞:原油價格時間序列模型Crude oil pricesTime series modelGARCHMarkov switching modelVARMA
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:1
  • 點閱點閱:5
期刊論文
1.楊麗芬、許玉雪(20050900)。臺灣地區消費者物價指數--單變量與多變量時間數列模式之比較分析。中國統計學報,43(3),281-311。new window  延伸查詢new window
2.Jarque, Carlos M.、Bera, Anil K.(1987)。A test for normality of observations and regression residuals。International Statistical Review,55(2),163-172。  new window
3.Tiao, G. C.、Box, G. E. P.(1981)。Modeling Multiple Time Series with Applications。Journal of the American Statistical Association,76(376),802-816。  new window
4.Bauwens, Luc、Laurent, Sébastien、Rombouts, Jeroen V. K.(2006)。Multivariate GARCH models: A survey。Journal of Applied Econometrics,21(1),79-109。  new window
5.Agnolucci, P.(2009)。Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models。Energy Economics,31(2),316-321。  new window
6.Mohammadi, H.、Su, Lixian(2010)。International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models。Energy Economics,32(5),1001-1008。  new window
7.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
8.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
9.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control,19(6),716-723。  new window
10.Abledu, G. K.、Agbodah, K.(2012)。Stochastic Forecasting and Modeling of Volatility Oil Prices in Ghana using ARIMA Time Series Model。European Journal of Business and Management,4(16),122-131。  new window
11.Morard, B.、Bălu, F. O.(2014)。Forecasting crude oil market volatility in the context of economic slowdown in emerging markets。Theor Appl Econ,21,19-36。  new window
12.Wang, Y.、Wu, C.、Yang, L.(2016)。Forecasting crude oil market volatility: A Markov switching multifractal volatility approach。International Journal of Forecasting,32(1),1-9。  new window
13.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
14.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society,57(2),357-384。  new window
15.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
16.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
17.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
研究報告
1.Lux, T.、Segnon, M.、Gupta, R.(2015)。Modeling and forecasting crude oil price volatility: Evidence from historical and recent data。Kiel University。  new window
學位論文
1.楊雅瑜(2007)。非線性時間數列模式之比較分析--具結構性改變之原油價格資料預測(碩士論文)。國立臺北大學。  延伸查詢new window
2.洪毓婷(2016)。時間數列模型在原油價格預測之比較分析(碩士論文)。國立臺北大學。  延伸查詢new window
圖書
1.林茂文(2006)。時間數列分析與預測:管理與財經之應用。臺北:華泰文化事業股份有限公司。  延伸查詢new window
2.Vandaele, Walter(1983)。Applied Time Series and Box-Jenkins Models。New York, NY:Academic Press。  new window
3.Box, George E. P.、Jenkins, Gwilym M.、Reinsel, Gregory C.、Ljung, Greta M.(2015)。Time series analysis: forecasting and control。NJ:John Wiley & Sons。  new window
 
 
 
 
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