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Title:Oil price forecasting under asymmetric loss PDF Logo
Authors:Pierdzioch, Christian
Rülke, Jan-Christoph
Stadtmann, Georg
Issue Date:2012
Series/Report no.:Discussion paper // European University Viadrina, Department of Business Administration and Economics 314
Abstract:Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price of oil tended to be larger than the loss they incurred when their forecast fell short of the price of oil. Accounting for the asymmetry of the loss function does not necessarily make forecasts look rational.
Subjects:oil price
forecasting
loss function
rationality of forecasts
JEL:F31
D84
Document Type:Working Paper
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Europa-Universität Viadrina

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