Data Mining In Oil Price Time Series Analysis

Authors

Daoping Wang, Tsinghua University
Litian Cao, Tsinghua University
Xuedong Gao, Tsinghua University
Tieke Li, University of Science and Technology

Abstract

This paper sums up the applications of statistic models such as ARCH-family models, cointegration theory and Granger causality etc in oil price time series analysis and introduces the method of data mining combined with statistic knowledge to analysis oil price time series. In addition, the paper also explains advantages, functions, relevant technologies of this method and its potential applications in hedging the oil shock risk.

Recommended Citation

Wang, Daoping; Cao, Litian; Gao, Xuedong; and Li, Tieke (2006) "Data Mining In Oil Price Time Series Analysis," Communications of the IIMA: Vol. 6: Iss. 3, Article 12.
DOI: https://doi.org/10.58729/1941-6687.1331
Available at: https://scholarworks.lib.csusb.edu/ciima/vol6/iss3/12