Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

Jesús Crespo-Cuaresma (), Adusei Jumah () and Sohbet Karbuz ()
Authors registered in the RePEc Author Service: Jesus Crespo Cuaresma

Working Papers from Faculty of Economics and Statistics, Universität Innsbruck

Abstract: 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.

Keywords: Oil price; forecasting; nonlinear time series analysis; asymmetric cycles (search for similar items in EconPapers)
JEL-codes: C22 C53 O13 (search for similar items in EconPapers)
Pages: 18
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-for
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:inn:wpaper:2007-22

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