Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/71962 
Year of Publication: 
2007
Series/Report no.: 
Working Papers in Economics and Statistics No. 2007-22
Publisher: 
University of Innsbruck, Department of Public Finance, Innsbruck
Abstract: 
We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved components model with an asymmetric cyclical component. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past oil price observations. We show that oil price forecasts improve significantly when this asymmetry is explicitly modelled.
Subjects: 
oil price
forecasting
nonlinear time series analysis
asymmetric cycles
JEL: 
C22
O13
C53
Document Type: 
Working Paper

Files in This Item:
File
Size
201.79 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.