Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

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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Bibliographische Detailangaben
Veröffentlicht in:	The Energy journal (Cambridge, Mass.) Mass.), 2009-07, Vol.30 (3), p.81-89
Hauptverfasser:	Cuaresma, Jesus Crespo, Jumah, Adusei, Karbuz, Sohbet
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Commodity prices Crude oil Crude oil prices Economic aspects Empirical evidence Forecasting models Forecasting techniques Forecasts and trends Management Oil prices Petroleum Petroleum industry Prices and rates Standard error Statistical forecasts Studies Time series Time series forecasting Time series models
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Beschreibung
Zusammenfassung:	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.
ISSN:	0195-6574 1944-9089
DOI:	10.5547/ISSN0195-6574-EJ-Vol30-No3-4