Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

We 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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Authors:	Cuaresma, Jesus Crespo ; Jumah, Adusei ; Karbuz, Sohbet
Institutions:	Institut für Finanzwissenschaft, Fakultät für Volkswirtschaft und Statistik
Subject:	Oil price \| forecasting \| nonlinear time series analysis \| asymmetric cycles

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	1 pages long
Classification:	C22 - Time-Series Models ; O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005432664