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本文运用参数稳定性检验方法对油价动态波动路径进行研究,发现油价序列存在显著的结构性改变特征,检测出自1974年2月以来油价共经历了四次结构性改变过程,本文考察了导致结构性改变的根本原因以及与重大事件的关系,并给出了结构改变点的点估计和区间估计,同时根据结构性改变情况将油价价位波动过程划分为五个阶段。此外,本文还讨论了结构性改变的监控问题,在历史数据的基础上及时发现新的结构改变点,为油价走势预测和和石油市场形势判断提供参考依据。
In this paper, the parameter stability test method is used to study the dynamic fluctuation path of oil price. It is found that there is a significant structural change in the oil price series. It has been detected that the oil price has undergone four structural changes since February 1974. In this paper, The root cause of the change and the relationship with the major events, and gives the point estimation and the interval estimation of structural change points. At the same time, the fluctuation process of oil price is divided into five stages according to the structural change. In addition, this article also discusses the monitoring of structural changes, and finds new structural change points on the basis of historical data in time to provide reference for the prediction of the oil price trend and the judgment of the oil market situation.