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

Year 2013, Volume: 3 Issue: 2, 137 - 142, 01.06.2013

Hamidreza Mostafaei Ali Akbar Rahimzadeh Sani Samira Askari

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

Year 2013, Volume: 3 Issue: 2, 137 - 142, 01.06.2013

Hamidreza Mostafaei Ali Akbar Rahimzadeh Sani Samira Askari

Abstract

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Details

Other ID JA86AU59YC
Journal Section Research Article
Authors

Hamidreza Mostafaei This is me

Ali Akbar Rahimzadeh Sani This is me

Samira Askari This is me

Publication Date June 1, 2013
Published in Issue Year 2013 Volume: 3 Issue: 2

Cite

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.
AMA 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. June 2013;3(2):137-142.
Chicago Mostafaei, Hamidreza, Ali Akbar Rahimzadeh Sani, and Samira Askari. “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, no. 2 (June 2013): 137-42.
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 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, 2013.
ISNAD 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 3/2 (June 2013), 137-142.
JAMA 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, 2013, pp. 137-42.
Vancouver 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):137-42.