| 题名 | Market uncertainty and information content in complex seasonality of prices |
| 作者 | |
| 通讯作者 | Bu, Hui; Li, Zhongfei |
| 发表日期 | 2024-09-01
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| DOI | |
| 发表期刊 | |
| ISSN | 0927-538X
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| EISSN | 1879-0585
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| 卷号 | 86 |
| 摘要 | In the context of heightened economic and financial market uncertainty, identifying and measuring uncertainty have become an important research question. This study offers a novel approach to uncover uncertainty and its sources by leveraging the complex seasonality inherent in futures prices. Our findings indicate that the temporal hierarchical forecasting method is not universally effective across 35 different commodity futures. However, further analysis reveals that this method outperforms single time series forecasting models when its manually set seasonal components align with those identified through singular spectrum analysis (SSA). The study demonstrates the efficacy of SSA in revealing complex seasonality patterns in various futures prices. Additionally, our event analysis results indicate that shifts in the seasonality patterns of commodity futures prices provide a new perspective for understanding uncertainty and exploring its origins. This research contributes to the literature by extending market uncertainty measures through the linkage with complex seasonality analysis, and offering valuable insights for risk management. |
| 关键词 | |
| 相关链接 | [来源记录] |
| 收录类别 | |
| 语种 | 英语
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| 学校署名 | 第一
; 通讯
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| 资助项目 | National Natural Science Foundation of China["71991474","91846108","71671012"]
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| WOS研究方向 | Business & Economics
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| WOS类目 | Business, Finance
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| WOS记录号 | WOS:001261188800001
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| 出版者 | |
| 来源库 | Web of Science
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| 引用统计 | |
| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/786755 |
| 专题 | 商学院 |
| 作者单位 | 1.Southern Univ Sci & Technol, Coll Business, Shenzhen 518055, Peoples R China 2.Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China 3.Fed Home Loan Bank Indianapolis, Indianapolis, IN 46240 USA |
| 第一作者单位 | 商学院 |
| 通讯作者单位 | 商学院 |
| 第一作者的第一单位 | 商学院 |
| 推荐引用方式 GB/T 7714 |
Tang, Wenjin,Bu, Hui,Ji, Yuqiong,et al. Market uncertainty and information content in complex seasonality of prices[J]. PACIFIC-BASIN FINANCE JOURNAL,2024,86.
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| APA |
Tang, Wenjin,Bu, Hui,Ji, Yuqiong,&Li, Zhongfei.(2024).Market uncertainty and information content in complex seasonality of prices.PACIFIC-BASIN FINANCE JOURNAL,86.
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| MLA |
Tang, Wenjin,et al."Market uncertainty and information content in complex seasonality of prices".PACIFIC-BASIN FINANCE JOURNAL 86(2024).
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| 条目包含的文件 | 条目无相关文件。 | |||||
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