Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

Jesus Crespo Cuaresma, Adusei Jumah and Sohbet Karbuz

The Energy Journal, 2009, vol. 30, issue 3, 81-90

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.

Keywords: Oil prices; forecasting; non-linear time series analysis; asymmetric cycles (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:30:y:2009:i:3:p:81-90

DOI: 10.5547/ISSN0195-6574-EJ-Vol30-No3-4

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