文章基本信息

标题：Sustainable Energy Consumption in Northeast Asia: A Case from China’s Fuel Oil Futures Market
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作者：Zhang, Chi ; Pu, Zhengning ; Zhou, Qin 等
期刊名称：Sustainability
印刷版ISSN：2071-1050
出版年度：2018
卷号：10
期号：1
页码：1-14
出版社：MDPI, Open Access Journal
摘要：The sustainable energy consumption in northeast Asia has a huge impact on regional stability and economic growth, which gives price volatility research in the energy market both theoretical value and practical application. We select China’s fuel oil futures market as a research subject and use recurrence interval analysis to investigate the price volatility pattern in different thresholds. We utilize the stretched exponential function to fit the pattern of the recurrence intervals of price fluctuations and find that the probability density functions of the recurrence intervals in different thresholds do not show the scaling behavior. Then the conditional probability density function and detrended fluctuation analysis prove that there is short-term and long-term correlation. Last, we use a hazard function to introduce the recurrence intervals into the (value at risk) VaR calculation and establish a functional relationship between the mean recurrence interval and the threshold. Following this result, we also shed light on policy discussion for hedgers and government.
关键词：sustainable development; recurrence interval; probability distribution; memory effect; risk estimation