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Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

Jesus Crespo Cuaresma, Adusei Jumah and Sohbet Karbuz

Year: 2009
Volume: Volume 30
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol30-No3-4
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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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