| 摘要: |
| 基于BDS 法和替代数据法,对布伦特原油现货价、大庆原油现货价以及NYMEX天然气期货价和亨利中心天然气现货价的日数据进行了非线性特征检验。研究表明,上述能源价格收益率不服从正态分布,存在长相关特征并具有一定的非线性结构。在替代数据法检验时发现,嵌入维数小于6 时,上述能源价格的原始数据和替代数据没有显著性差异,表明在维数低于6 时,可以用少于6 个经济变量进行线性模拟,以对相关能源价格进行短期预测,以便为中国能源政策制定及能源行业的科学发展提供有益启示。 |
| 关键词: 石油价格 天然气价格 BDS 检验 替代数据法 随机游走 独立同分布假设 |
| DOI： |
| 分类号:F407. 22 |
| 文献标识码:A |
| 基金项目:世界煤炭协会(WCA)和神华集团国际合作研究项目(YJY-1) |
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| A Study of the Nonlinear Characteristics of the Domestic and International Energy Prices Based on the Oil and Gas |
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LEI Qiang, JIANG Dianhong
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Shenhua Development Strategy Institute, Shenhua Science and Technology Research Institute Co. Ltd, Beijing 102211, China
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| Abstract: |
| The environmental impact of shale gas development has been highly concerned by the governments.It has become a consensus of governments to enhance the environmental regulation in the development of shale gas.On Based on the BDS method and the surrogate data method, this paper studies the nonlinear characteristics of the Brent Oil spot price, Daqing Oil price, NYMEX Gas price and Henry Gas price. The results show that the return series of the above energy pricedata do not follow a normal distribution and have " fat tailedness" characteristics, the non linear relationship and some non linear structure. In the Surrogate data test, the results found that when the embedding dimension is less than 6, there is no significant difference among the original data and surrogate data of the above energy prices, which means that under the embedding dimension of less than 6 the study may linearly simulate the energy prices with less than 6 economic variables in order to make the short term forecast of the energy prices |
| Key words: oil price gas price BDS test Surrogate data random walk IID assumption |
