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Oil price forecasting under asymmetric loss

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Abstract:

Based on the approach developed by Elliott et al. (2005), 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.

Keywords: D84; F31; loss function; oil price; forecasting; rationality of forecasts

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036846.2012.663478

Affiliations: 1: Department of Economics,Helmut-Schmidt-University, Holstenhofweg 85, PO Box 70082222008 Hamburg, Germany 2: Department of Economics,WHU – Otto Beisheim School of Management, Burgplatz 256179 Vallendar, Germany 3: Department of Business and Economics,University of Southern Denmark, Campusvej 555230 Odense M, Denmark

Publication date: June 1, 2013

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