Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles
AbstractWe 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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Bibliographic InfoPaper provided by Faculty of Economics and Statistics, University of Innsbruck in its series Working Papers with number 2007-22.
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Oil price; forecasting; nonlinear time series analysis; asymmetric cycles.;
Other versions of this item:
- Jesus Crespo Cuaresma & Adusei Jumah & Sohbet Karbuz, 2009. "Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 81-90.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- O13 - Economic Development, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-20 (All new papers)
- NEP-ECM-2007-10-20 (Econometrics)
- NEP-ENE-2007-10-20 (Energy Economics)
- NEP-FOR-2007-10-20 (Forecasting)
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