A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting

doi:10.1016/j.energy.2023.129740

	A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting
	Zhao, Zhengling1 ; Sun, Shaolong 3; Sun, Jingyun2 ; Wang, Shouyang 4,5,6
	2024-02-01
在线发表日期	2023-12
发表期刊	ENERGY
卷号	288
摘要	Crude oil plays an important role in economic development and political stability, and many scholars have been committed to forecasting its price. However, its influencing factors are complex and diverse, and previous studies have rarely focused on the second multivariate decomposition. Therefore, this study introduces financial market factors and crude oil news as forecasters, and proposes a novel hybrid model with two-layer multivariate decomposition. To verify the performance of the proposed model, an empirical study is performed on weekly West Texas Intermediate (WTI) oil spot price. The results suggest that the second multivariate decomposition for the high-frequency subcomponent can significantly improve the forecasting accuracy, and the forecasting per-formance of the proposed model outperforms all the benchmark models.
关键词	Investor sentiment Crude oil price forecasting Second multivariate decomposition Multivariate variational mode decomposition Hybrid forecasting
DOI	10.1016/j.energy.2023.129740
收录类别	SCIE ; EI
ISSN	0360-5442
语种	英语
WOS研究方向	Thermodynamics ; Energy & Fuels
WOS类目	Thermodynamics ; Energy & Fuels
WOS记录号	WOS:001129553300001
出版者	PERGAMON-ELSEVIER SCIENCE LTD
EI入藏号	20234915155032
EI主题词	Variational mode decomposition
EI分类号	512.1 Petroleum Deposits716.1 Information Theory and Signal Processing
原始文献类型	Article
EISSN	1873-6785
引用统计	被引频次：7[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/35578
专题	统计与数据科学学院
通讯作者	Sun, Jingyun
作者单位	1.Northwest Normal Univ, Sch Econ, Lanzhou 730000, Gansu, Peoples R China; 2.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730020, Peoples R China; 3.Xi An Jiao Tong Univ, Sch Management, Xian 710049, Peoples R China; 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China; 5.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China; 6.ShanghaiTech Univ, Sch Entrepreneurship & Management, Shanghai 201210, Peoples R China
通讯作者单位	兰州财经大学
推荐引用方式 GB/T 7714	Zhao, Zhengling,Sun, Shaolong,Sun, Jingyun,et al. A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting[J]. ENERGY,2024,288.
APA	Zhao, Zhengling,Sun, Shaolong,Sun, Jingyun,&Wang, Shouyang.(2024).A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting.ENERGY,288.
MLA	Zhao, Zhengling,et al."A novel hybrid model with two-layer multivariate decomposition for crude oil price forecasting".ENERGY 288(2024).