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Essays on energy prices and time-varying volatility models

Zhu, Beili


This thesis contains three Chapters that use Bayesian econometrics to develop and apply time-varying models, especially stochastic volatility models, for forecasting, modelling and structurally analysing energy prices. Both univariate and multivariate models with stochastic volatility are applied in this thesis. Chapter 2 constructs a monthly real-time oil price dataset using backcasting and compares the forecasting performance of different models of constant and time-varying volatility...[Show more]

CollectionsOpen Access Theses
Date published: 2020
Type: Thesis (PhD)
DOI: 10.25911/S0NG-AN95


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