A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia

Hamidreza Mostafaei; Ali Akbar Rahimzadeh Sani; Samira Askari

EN

A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia

Abstract

In this study, it has been attempted to select the best continuous- time stochastic model, in order to describe and forecast the oil price of Russia, by information and statistics about oil price that has been available for oil price in the past. For this purpose, method of The Maximum Likelihood Estimation is implemented for estimation of the parameters of continuous-time stochastic processes. The result of unit root test with a structural break, reveals that time series of the crude oil price is a stationary series. The simulation of continuous-time stochastic processes and the mean square error between the simulated prices and the market ones shows that the Geometric Brownian Motion is the best model for the Russian crude oil price

Keywords

Stochastic processes, Crude oil price, Unit root test, Structural break, MLE estimation, Simulation

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Hamidreza Mostafaei This is me

Ali Akbar Rahimzadeh Sani This is me

Samira Askari This is me

Publication Date

June 1, 2013

Submission Date

June 1, 2013

Acceptance Date

-

Published in Issue

Year 2013 Volume: 3 Number: 2

IZ

https://izlik.org/JA33WT25RD

Cite

RIS / Bibtex

APA

Mostafaei, H., Sani, A. A. R., & Askari, S. (2013). A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia. International Journal of Energy Economics and Policy, 3(2), 137-142. https://izlik.org/JA33WT25RD

AMA

1.Mostafaei H, Sani AAR, Askari S. A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia. IJEEP. 2013;3(2):137-142. https://izlik.org/JA33WT25RD

Chicago

Mostafaei, Hamidreza, Ali Akbar Rahimzadeh Sani, and Samira Askari. 2013. “A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia”. International Journal of Energy Economics and Policy 3 (2): 137-42. https://izlik.org/JA33WT25RD.

EndNote

Mostafaei H, Sani AAR, Askari S (June 1, 2013) A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia. International Journal of Energy Economics and Policy 3 2 137–142.

IEEE

[1]H. Mostafaei, A. A. R. Sani, and S. Askari, “A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia”, IJEEP, vol. 3, no. 2, pp. 137–142, June 2013, [Online]. Available: https://izlik.org/JA33WT25RD

ISNAD

Mostafaei, Hamidreza - Sani, Ali Akbar Rahimzadeh - Askari, Samira. “A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia”. International Journal of Energy Economics and Policy 3/2 (June 1, 2013): 137-142. https://izlik.org/JA33WT25RD.

JAMA

1.Mostafaei H, Sani AAR, Askari S. A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia. IJEEP. 2013;3:137–142.

MLA

Mostafaei, Hamidreza, et al. “A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia”. International Journal of Energy Economics and Policy, vol. 3, no. 2, June 2013, pp. 137-42, https://izlik.org/JA33WT25RD.

Vancouver

1.Hamidreza Mostafaei, Ali Akbar Rahimzadeh Sani, Samira Askari. A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia. IJEEP [Internet]. 2013 Jun. 1;3(2):137-42. Available from: https://izlik.org/JA33WT25RD