Essays on energy prices and time-varying volatility models
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]
|Collections||Open Access Theses|
|Beili ZHU Thesis 2020.pdf||Thesis Material||6.09 MB||Adobe PDF|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.