A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting

doi:10.1016/j.energy.2023.129740

KMS > 创业与管理学院

	A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting
	Zhao, Zhengling 1; Sun, Shaolong 3; Sun, Jingyun 2; Wang, Shouyang4,5,6
	2024-02-01
发表期刊	ENERGY (IF:9.0[JCR-2023],8.2[5-Year])
ISSN	0360-5442
卷号	288
发表状态	已发表
DOI	10.1016/j.energy.2023.129740
摘要	Crude oil plays an important role in economic development and political stability, and many scholars have been committed to forecasting its price. However, its influencing factors are complex and diverse, and previous studies have rarely focused on the second multivariate decomposition. Therefore, this study introduces financial market factors and crude oil news as forecasters, and proposes a novel hybrid model with two-layer multivariate decomposition. To verify the performance of the proposed model, an empirical study is performed on weekly West Texas Intermediate (WTI) oil spot price. The results suggest that the second multivariate decomposition for the high-frequency subcomponent can significantly improve the forecasting accuracy, and the forecasting performance of the proposed model outperforms all the benchmark models. © 2023 Elsevier Ltd
关键词	Benchmarking Crude oil Forecasting Crude oil price forecasting Economic development Hybrid forecasting Hybrid model Investor's sentiments Market-factors Multivariate variational mode decomposition Political stability Second multivariate decomposition Two-layer
收录类别	EI
语种	英语
出版者	Elsevier Ltd
EI入藏号	20234915155032
EI主题词	Variational mode decomposition
EI分类号	512.1 Petroleum Deposits ; 716.1 Information Theory and Signal Processing
原始文献类型	Journal article (JA)
引用统计	被引频次：11[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://kms.shanghaitech.edu.cn/handle/2MSLDSTB/347918
专题	创业与管理学院创业与管理学院_特聘教授组_汪寿阳组
通讯作者	Sun, Jingyun
作者单位	1.School of Economics, Northwest Normal University, China; 2.School of Statistics, Lanzhou University of Finance and Economics, Lanzhou; 730020, China; 3.School of Management, Xi'an Jiaotong University, Xi'an; 710049, China; 4.Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing; 100190, China; 5.School of Economics and Management, University of Chinese Academy of Sciences, Beijing; 100190, China; 6.School of Entrepreneurship and Management, ShanghaiTech University, Shanghai; 201210, China
推荐引用方式 GB/T 7714	Zhao, Zhengling,Sun, Shaolong,Sun, Jingyun,et al. A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting[J]. ENERGY,2024,288.
APA	Zhao, Zhengling,Sun, Shaolong,Sun, Jingyun,&Wang, Shouyang.(2024).A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting.ENERGY,288.
MLA	Zhao, Zhengling,et al."A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting".ENERGY 288(2024).