A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments
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 u...
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2021-08-01
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| Series: | Frontiers in Energy Research |
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| Online Access: | https://www.frontiersin.org/articles/10.3389/fenrg.2021.707937/full |
| _version_ | 1818577203956285440 |
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| author | Bai Huang Yuying Sun Yuying Sun Yuying Sun Shouyang Wang Shouyang Wang Shouyang Wang |
| author_facet | Bai Huang Yuying Sun Yuying Sun Yuying Sun Shouyang Wang Shouyang Wang Shouyang Wang |
| author_sort | Bai Huang |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-16T06:26:11Z |
| format | Article |
| id | doaj.art-6752ea42c6ad4d7ca2991df837186714 |
| institution | Directory Open Access Journal |
| issn | 2296-598X |
| language | English |
| last_indexed | 2024-12-16T06:26:11Z |
| publishDate | 2021-08-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Energy Research |
| spelling | doaj.art-6752ea42c6ad4d7ca2991df8371867142022-12-21T22:41:00ZengFrontiers Media S.A.Frontiers in Energy Research2296-598X2021-08-01910.3389/fenrg.2021.707937707937A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty EnvironmentsBai Huang0Yuying Sun1Yuying Sun2Yuying Sun3Shouyang Wang4Shouyang Wang5Shouyang Wang6School of Statistics and Mathematics, Central University of Finance & Economics, Beijing, ChinaAcademy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, ChinaCenter for Forecasting Science, Chinese Academy of Sciences, Beijing, ChinaSchool of Economics and Management, University of Chinese Academy of Sciences, Beijing, ChinaAcademy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, ChinaCenter for Forecasting Science, Chinese Academy of Sciences, Beijing, ChinaSchool of Economics and Management, University of Chinese Academy of Sciences, Beijing, ChinaIn 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.https://www.frontiersin.org/articles/10.3389/fenrg.2021.707937/fullcrude oil prices forecastingforecast combinationinterval-valued time seriesmodel averagingvector L2-boosting |
| spellingShingle | Bai Huang Yuying Sun Yuying Sun Yuying Sun Shouyang Wang Shouyang Wang Shouyang Wang A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments Frontiers in Energy Research crude oil prices forecasting forecast combination interval-valued time series model averaging vector L2-boosting |
| title | A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments |
| title_full | A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments |
| title_fullStr | A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments |
| title_full_unstemmed | A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments |
| title_short | A New Two-Stage Approach with Boosting and Model Averaging for Interval-Valued Crude Oil Prices Forecasting in Uncertainty Environments |
| title_sort | new two stage approach with boosting and model averaging for interval valued crude oil prices forecasting in uncertainty environments |
| topic | crude oil prices forecasting forecast combination interval-valued time series model averaging vector L2-boosting |
| url | https://www.frontiersin.org/articles/10.3389/fenrg.2021.707937/full |
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