Abstract:This paper develops an integrated framework to forecast the volatility of crude oil prices by considering the impacts of extreme events (structural breaks). The impacts of extreme events are vital to improving prediction accuracy. Aiming to demonstrate the crude oil price fluctuation and the impacts of external events, this paper employs the Complementary Ensemble Empirical Mode Decomposition (CEEMD). It decomposes the crude oil price into some constituents at various frequencies to extract a market fluctuatio… Show more
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