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

Cilt: 3 Sayı: 2 1 Haziran 2013
  • Hamidreza Mostafaei
  • Ali Akbar Rahimzadeh Sani
  • Samira Askari
International Journal of Energy Economics and Policy Kapak
International Journal of Energy Economics and Policy
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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

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

Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

-

Yazarlar

Hamidreza Mostafaei Bu kişi benim

Ali Akbar Rahimzadeh Sani Bu kişi benim

Samira Askari Bu kişi benim

Yayımlanma Tarihi

1 Haziran 2013

Gönderilme Tarihi

1 Haziran 2013

Kabul Tarihi

-

Yayımlandığı Sayı

Yıl 2013 Cilt: 3 Sayı: 2

IZ

https://izlik.org/JA33WT25RD

Kaynak Göster

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, ve 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 (01 Haziran 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, ve S. Askari, “A Methodology for the Choice of the Best Fitting Continuous-Time Stochastic Models of Crude Oil Price: The Case of Russia”, IJEEP, c. 3, sy 2, ss. 137–142, Haz. 2013, [çevrimiçi]. Erişim adresi: 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 (01 Haziran 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, vd. “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, c. 3, sy 2, Haziran 2013, ss. 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]. 01 Haziran 2013;3(2):137-42. Erişim adresi: https://izlik.org/JA33WT25RD