Modelling and forecasting oil prices: The role of asymmetric cycles

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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