Oil price forecasting under asymmetric loss

Christian Pierdzioch, Jan Ruelke, Georg Stadtmann

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Abstrakt

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.

OriginalsprogEngelsk
TidsskriftApplied Economics
Vol/bind45
Udgave nummer17
Sider (fra-til)2371-2379
ISSN0003-6846
DOI
StatusUdgivet - 2013

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