Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71962
Authors: 
Crespo Cuaresma, Jesus
Jumah, Adusei
Karbuz, Sohbet
Year of Publication: 
2007
Series/Report no.: 
Working Papers in Economics and Statistics 2007-22
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

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