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Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

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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Energy Specializations: Petroleum – Markets and Prices for Crude Oil and Products; Energy Modeling – Forecasting and Market Analysis

JEL Codes: Q31: Nonrenewable Resources and Conservation: Demand and Supply; Prices, Q47: Energy Forecasting, C58: Financial Econometrics, C53: Forecasting Models; Simulation Methods, Q02: Commodity Markets, Q41: Energy: Demand and Supply; Prices

Keywords: Oil prices, forecasting, non-linear time series analysis, asymmetric cycles

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

Published in Volume 30, Number 3 of the bi-monthly journal of the IAEE's Energy Economics Education Foundation.

 

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