Modelling and forecasting oil prices: The role of asymmetric cycles

Crespo Cuaresma, J., Jumah, A., & Karbuz, S. (2009). Modelling and forecasting oil prices: The role of asymmetric cycles. The Energy Journal 30 (3) 81-90. 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.

Item Type:	Article
Research Programs:	World Population (POP)
Bibliographic Reference:	The Energy Journal; 30(3):81-90 (1 July 2009)
Related URLs:	Publisher -
Depositing User:	IIASA Import
Date Deposited:	15 Jan 2016 08:41
Last Modified:	27 Aug 2021 17:38
URI:	https://pure.iiasa.ac.at/8790

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