A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments

doi:10.3389/fenrg.2021.707937

CSpace

	A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments
	Huang, Bai 1; Sun, Yuying 2,3,4; Wang, Shouyang 2,3,4
	2021-08-19
发表期刊	FRONTIERS IN ENERGY RESEARCH
ISSN	2296-598X
卷号	9 页码:11
摘要	In view of the intrinsic complexity of the oil market, crude oil prices are influenced by numerous factors that make forecasting very difficult. Recognizing this challenge, numerous approaches have been introduced, but little work has been done concerning the interval-valued prices. To capture the underlying characteristics of crude oil price movements, this paper proposes a two-stage forecasting procedure to forecast interval-valued time series, which generalizes point-valued forecasts to incorporate uncertainty and variability. The empirical results show that our proposed approach significantly outperforms all the benchmark models in terms of both forecasting accuracy and robustness analysis. These results can provide references for decision-makers to understand the trends of crude oil prices and improve the efficiency of economic activities.
关键词	crude oil prices forecasting forecast combination interval-valued time series model averaging vector L2-boosting
DOI	10.3389/fenrg.2021.707937
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71973116] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[72073126] ; National Natural Science Foundation of China[72091212] ; funding of Forecasting and Monitoring of COVID-19 in countries along Belt and Road and Related Economic Impacts[ANSO-SBA-2020-12] ; Central University of Finance and Economics
WOS研究方向	Energy & Fuels
WOS类目	Energy & Fuels
WOS记录号	WOS:000693633200001
出版者	FRONTIERS MEDIA SA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59252
专题	中国科学院数学与系统科学研究院
通讯作者	Sun, Yuying
作者单位	1.Cent Univ Finance Econ, Sch Math & Stat, Beijing, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China 4.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Huang, Bai,Sun, Yuying,Wang, Shouyang. A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments[J]. FRONTIERS IN ENERGY RESEARCH,2021,9:11.
APA	Huang, Bai,Sun, Yuying,&Wang, Shouyang.(2021).A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments.FRONTIERS IN ENERGY RESEARCH,9,11.
MLA	Huang, Bai,et al."A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments".FRONTIERS IN ENERGY RESEARCH 9(2021):11.