Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

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Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

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Jesus Crespo Cuaresma
Adusei Jumah
Sohbet Karbuz

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Abstract

Using 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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Publisher Info
Article provided by International Association for Energy Economics in its journal The Energy Journal.

Volume (Year): 30 (2009)
Issue (Month): 3 ()
Pages: 81-90
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Handle: RePEc:aen:journl:2009v30-03-a04

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Paper
- 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. [Downloadable!]

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F0 - International Economics - - General

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Deaton, Angus & Laroque, Guy, 1992. "On the Behaviour of Commodity Prices," Review of Economic Studies, Blackwell Publishing, vol. 59(1), pages 1-23, January. [Downloadable!] (restricted)
Other versions:
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Public and International Affairs.
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Development Studies.
- Angus Deaton & Guy Laroque, 1990. "On The Behavior of Commodity Prices," NBER Working Papers 3439, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Rebeca Jiménez-Rodríguez & Marcelo Sánchez, 2004. "Oil price shocks and real GDP growth: empirical evidence for some OECD countries," Working Paper Series 362, European Central Bank. [Downloadable!]
Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
Other versions:
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
Jesus Crespo Cuaresma, 2003. "Asymmetric cycles in unobserved components models," Economics Bulletin, Economics Bulletin, vol. 5(3), pages 1-9. [Downloadable!]
Peter Wickham & Carmen Reinhart, 1994. "Commodity Prices - Cyclical Weakness or Secular Decline?," IMF Working Papers 94/7, International Monetary Fund.
Other versions:
- Reinhart, Carmen & Wickham, Peter, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," MPRA Paper 8173, University Library of Munich, Germany. [Downloadable!]
Knut Anton Mork & Oystein Olsen & Hans Terje Mysen, 1994. "Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries," The Energy Journal, International Association for Energy Economics, vol. 15(4), pages 19-36.
Cunado, J. & Perez de Gracia, F., 2005. "Oil prices, economic activity and inflation: evidence for some Asian countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 65-83, February. [Downloadable!] (restricted)
Other versions:
- Juncal Cunado & Fernando Pérez de Gracia, 2004. "Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries," Faculty Working Papers 06/04, School of Economics and Business Administration, University of Navarra. [Downloadable!]

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Georges Prat & Remzi Uctum, 2009. "Modelling oil price expectations: evidence from survey data," EconomiX Working Papers 2009-28, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]

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