Multivariate EMD-based modeling and forecasting of crude oil price
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Article number | 387 |
| Journal / Publication | Sustainability (Switzerland) |
| Volume | 8 |
| Issue number | 4 |
| Publication status | Published - 2016 |
Link(s)
| DOI | DOI |
|---|---|
| Attachment(s) | Documents
Publisher's Copyright Statement
|
| Link to Scopus | https://www.scopus.com/record/display.uri?eid=2-s2.0-84965178926&origin=recordpage |
| Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(782afc69-9854-4c92-9a00-25d868502c62).html |
Abstract
Recent empirical studies reveal evidence of the co-existence of heterogeneous data characteristics distinguishable by time scale in the movement crude oil prices. In this paper we propose a new multivariate Empirical Mode Decomposition (EMD)-based model to take advantage of these heterogeneous characteristics of the price movement and model them in the crude oil markets. Empirical studies in benchmark crude oil markets confirm that more diverse heterogeneous data characteristics can be revealed and modeled in the projected time delayed domain. The proposed model demonstrates the superior performance compared to the benchmark models.
Research Area(s)
- ARMA model, Crude oil price forecasting, Empirical mode decomposition (EMD), Multiscale analysis, Multivariate EMD analysis, Time delay embedding
Citation Format(s)
Multivariate EMD-based modeling and forecasting of crude oil price. / He, Kaijian; Zha, Rui; Wu, Jun et al.
In: Sustainability (Switzerland), Vol. 8, No. 4, 387, 2016.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Download Statistics
No data available
