Template-type: ReDIF-Paper 1.0
Author-Name: Canepa, Alessandra    
Author-Email: alessandra.canepa@unito.it.
Author-Name: Zanetti Chini, Emilio
Author-Email: emilio.zanettichini@unibg.it
Author-Name: Alqaralleh, Huthaifa
Author-Email: huthaifa89@mutah.edu.jo
Author-Workplace-Name: University of Turin
Author-Workplace-Homepage: http://www.est.unito.it/
Title: Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach.
Abstract: In this paper we investigate the dynamic features of energy commodity prices. Using a generalized
smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the energy
markets is strongly rejected. Further, our results show that the proposed model performs well when
compared to other linear and nonlinear speciÖcations in a out-of-sample forecasting exercise.
Length: pages 35
Creation-Date: 2023-12
File-URL: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2023dip/wp_18_2023.pdf
File-Format: Application/PDF
Handle: RePEc:uto:dipeco:202318