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经管中心侯成瀚副教授和高甡助理教授的论文被《Economic Modelling》期刊接受发表

2021年10月12日  点击:[]

经济管理研究中心副教授侯成瀚和助理教授高甡合作论文Forecasting Natural Gas Prices Using Highly Flexible Time-Varying Parameters Models”被经济学国际期刊《Economic Modelling》接受发表(合作者: Bao Nguyen)。



Abstract: Distinctive regional characteristics in different natural gas markets have increased the difficulty in accurately forecasting natural gas prices. Moreover, the natural gas markets have experienced greatly structural instability due to advancement in technology and rapid financialization over the past few decades. We employ three classes of flexible time-varying parameters models to evaluate the effects of the regional characteristics and structural instability on natural gas prices forecasts. Using the data from the US, EU and Japanese markets from 1992-2019, we find that allowing different time-varying dynamics of the model parameters is crucial in forecasting natural gas prices. For Japan and the EU, models allowing gradual changes in coefficients and drastic changes in volatility have the best forecasting performance, while most of forecasting gains appear to have come from allowing gradual changes in volatility for the US. In addition, embedding t-distributed errors can further improve the forecast accuracy.

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