Quantification of the high level of endogeneity and of structural regime shifts in commodity markets

Journal of International Money and Finance

Volumn 42, Issue , 2014, Pages 174-192

  Filimonov, Vladimir ^a   Bicchetti, David ^b   Maystre, Nicolas ^b,c   Sornette, Didier ^a,c  

^a ETH ZURICH   (Switzerland)

^b United Nations Conference on Trade and Development   (Switzerland)

^c UNIVERSITY OF GENEVA   (Switzerland)

Author keywords

Branching processes; Bubble; Commodities; Endogeneity; Oil; Reflexivity; Regime shift; Self excitation

Indexed keywords

EID: 84894269923     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2013.08.010     Document Type: Article

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