Modelling and forecasting oil prices : the role of asymmetric cycles

Jesus Crespo Cuaresma; Adusei Jumah; Sohbet Karbuz

We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved components model with an asymmetric cyclical component. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past oil price observations. We show that oil price forecasts improve significantly when this asymmetry is explicitly modelled. -- oil price ; forecasting ; nonlinear time series analysis ; asymmetric cycles

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Year of publication:	2007
Authors:	Crespo Cuaresma, Jesús ; Jumah, Adusei ; Karbuz, Sohbet
Publisher:	Innsbruck : Univ. Innsbruck, Inst. für Finanzwiss.
Subject:	Ölpreis \| Oil price \| Zeitreihenanalyse \| Time series analysis \| Nichtlineare Regression \| Nonlinear regression \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Erdölpreis \| Prognose \| 1983-1995

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Extent:	Online-Ressource (14 S.) graph. Darst.
Series:	Working papers in economics and statistics. - Innsbruck : [Verlag nicht ermittelbar], ISSN 1993-6885, ZDB-ID 2467024-8. - Vol. 2007-22
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/71962 [Handle]
Classification:	C22 - Time-Series Models ; O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009731144