Oil prices clearly play an important role in the macroeconomy. The dynamics of oil prices have, however, been difficult to pin down because of the frequent occurrence of large shocks. In this paper, we propose a time series model with heavy-tailed disturbances to analyze the dynamics of the oil...

We study the fitting of time series models via the minimization of a multi-step-ahead forecast error criterion that is based on the asymptotic average of squared forecast errors. Our objective function uses frequency domain concepts, but is formulated in the time domain, and allows the...