Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles

Economics and Statistics Working Paper No. 2007-22

18 Pages Posted: 25 Oct 2007

See all articles by Jesús Crespo Cuaresma

Jesús Crespo Cuaresma

University of Innsbruck - Department of Economic Theory, Economic Policy and Economic History

Adusei Jumah

University of Vienna

Sohbet Karbuz

International Energy Agency - Energy Statistics Division

Date Written: 2007

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.

Keywords: Oil price, forecasting, nonlinear time series analysis, asymmetric cycles

JEL Classification: C22, O13, C53

Suggested Citation

Crespo Cuaresma, Jesús and Jumah, Adusei and Karbuz, Sohbet, Modelling and Forecasting Oil Prices: The Role of Asymmetric Cycles (2007). Economics and Statistics Working Paper No. 2007-22. Available at SSRN: https://ssrn.com/abstract=1024413 or http://dx.doi.org/10.2139/ssrn.1024413

Jesús Crespo Cuaresma (Contact Author)

University of Innsbruck - Department of Economic Theory, Economic Policy and Economic History ( email )

Universitaetsstrasse 15
Innsbruck, A - 6020
Austria

Adusei Jumah

University of Vienna ( email )

Bruenner Strasse 72
Vienna, Vienna 1090
Austria

Sohbet Karbuz

International Energy Agency - Energy Statistics Division ( email )

United States

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