Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles
AbstractUsing a simple unobserved components model, we show that explicitly modelling asymmetric cycles on crude oil prices improves the forecast ability of univariate time series models of the oil price.
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Bibliographic InfoArticle provided by International Association for Energy Economics in its journal The Energy Journal.
Volume (Year): Volume 30 (2009)
Issue (Month): Number 3 ()
Other versions of this item:
- Jesus Crespo Cuaresma & Adusei Jumah & Sohbet Karbuz, . "Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles," Working Papers 2007-22, Faculty of Economics and Statistics, University of Innsbruck.
- F0 - International Economics - - General
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