Oil price forecasting under asymmetric loss
AbstractBased on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price of oil tended to be larger than the loss they incurred when their forecast fell short of the price of oil. Accounting for the asymmetry of the loss function does not necessarily make forecasts look rational. --
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Bibliographic InfoPaper provided by European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics in its series Discussion Papers with number 314.
Date of creation: 2012
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oil price; forecasting; loss function; rationality of forecasts;
Other versions of this item:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-14 (All new papers)
- NEP-ENE-2012-03-14 (Energy Economics)
- NEP-FOR-2012-03-14 (Forecasting)
- NEP-UPT-2012-03-14 (Utility Models & Prospect Theory)
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