Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach

Alessandra Canepa, Emilio Zanetti Chini () and Huthaifa Alqaralleh ()
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Huthaifa Alqaralleh: University of Turin, http://www.est.unito.it/

Department of Economics and Statistics Cognetti de Martiis. Working Papers from University of Turin

Abstract: In this paper we investigate the dynamic features of energy commodity prices. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the energy markets is strongly rejected. Further, our results show that the proposed model performs well when compared to other linear and nonlinear speciÖcations in a out-of-sample forecasting exercise.

Pages: pages 35
Date: 2023-12
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Persistent link: https://EconPapers.repec.org/RePEc:uto:dipeco:202318

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