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Volumn 115, Issue 3, 2012, Pages 469-472

An application of models of speculative behaviour to oil prices

Author keywords

Bubble; Estimation; Oil price; Speculative behaviour; Three regime

Indexed keywords


EID: 84856068370     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2011.12.126     Document Type: Article
Times cited : (41)

References (11)
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    • (2005) The Economic Journal , vol.115 , pp. 767-797
    • Brooks, C.1    Katsaris, A.2
  • 3
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation
    • Engle Robert F. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica 1982, 50:987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 5
    • 77954052563 scopus 로고    scopus 로고
    • Speculative influences on commodity futures prices 2006-2008
    • Discussion Paper 197. United Nations Conference on Trade and Development.
    • Gilbert, Christopher L., 2010. Speculative influences on commodity futures prices 2006-2008. Discussion Paper 197. United Nations Conference on Trade and Development.
    • (2010)
    • Gilbert Christopher, L.1
  • 6
    • 0002579545 scopus 로고
    • A quasi-bayesian approach to estimating parameters for mixture of normal distribution
    • Hamilton James D. A quasi-bayesian approach to estimating parameters for mixture of normal distribution. Journal of Bussiness and Economic Statistics 1991, 9:27-39.
    • (1991) Journal of Bussiness and Economic Statistics , vol.9 , pp. 27-39
    • Hamilton, J.D.1
  • 7
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas Robert E. Asset prices in an exchange economy. Econometrica 1978, 46(6):1429-1445.
    • (1978) Econometrica , vol.46 , Issue.6 , pp. 1429-1445
    • Lucas, R.E.1
  • 8
    • 79951933950 scopus 로고    scopus 로고
    • Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values?
    • Phillips P.C.B., Wu Y., Yu J. Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values?. International Economic Review 2011, 52(1):201-226.
    • (2011) International Economic Review , vol.52 , Issue.1 , pp. 201-226
    • Phillips, P.C.B.1    Wu, Y.2    Yu, J.3
  • 9
    • 84860324982 scopus 로고    scopus 로고
    • Dating the timeline of financial bubbles during the subprime crisis
    • Phillips Peter C.B., Yu Jun Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics 2011, 2:455-491.
    • (2011) Quantitative Economics , vol.2 , pp. 455-491
    • Phillips, P.C.B.1    Yu, J.2
  • 10
    • 0000311838 scopus 로고
    • The present value model of rational commodity pricing
    • Pindyck Robert S. The present value model of rational commodity pricing. The Economic Journal 1993, 103:511-530.
    • (1993) The Economic Journal , vol.103 , pp. 511-530
    • Pindyck, R.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.