Modelling and forecasting oil prices: The role of asymmetric cycles
Authors: Crespo Cuaresma J, Jumah A, Karbuz S
Publication Year: 2009
Reference: The Energy Journal, 30(3):81-90 (1 July 2009)
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.
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