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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

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.

Suggested Citation

  • Jesus Crespo Cuaresma & Adusei Jumah & Sohbet Karbuz, 2009. "Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles," The Energy Journal, , vol. 30(3), pages 81-90, July.
    • Handle: RePEc:sae:enejou:v:30:y:2009:i:3:p:81-90
    DOI: 10.5547/ISSN0195-6574-EJ-Vol30-No3-4
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    References listed on IDEAS

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