Modelling and forecasting oil prices: The role of asymmetric cycles

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.

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Year of publication:	2007
Authors:	Crespo Cuaresma, Jesus ; Jumah, Adusei ; Karbuz, Sohbet
Publisher:	Innsbruck : University of Innsbruck, Department of Public Finance
Subject:	Ölpreis \| Zeitreihenanalyse \| Nichtlineares Verfahren \| Prognoseverfahren \| Theorie \| oil price \| forecasting \| nonlinear time series analysis \| asymmetric cycles

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Series:	Working Papers in Economics and Statistics ; 2007-22
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	742390950 [GVK] 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:	EconStor

Persistent link: https://www.econbiz.de/10010293428