Rational speculative bubbles and commodities markets: application of duration dependence test-Reference-Cited by-同舟云学术

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Rational speculative bubbles and commodities markets: application of duration dependence test

Published:2012-02-06 Issue:7 Volume:22 Page:581-596
ISSN:0960-3107
Container-title:Applied Financial Economics
language:en
Short-container-title:Applied Financial Economics

Author:

Emekter Riza¹,Jirasakuldech Benjamas²,Went Peter³

Affiliation:

1. a Department of Finance , Robert Morris University , Massey Hall 214, 6001 University Boulevard, Moon Township , PA 15108 , USA

2. b School of Business , Slippery Rock University of Pennsylvania , 1 Morrow Way, Slippery Rock , PA 16057 , USA

3. c GARP Research Center , 111 Town Square Place, Suite 1215, Jersey City , NJ 07310 , USA

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/09603107.2011.619496

Reference55 articles.

1. Non-linear dynamics in futures prices: evidence from the coffee, sugar and cocoa exchange

2. Antoniou, A. and Foster, A. J. (1992) The effect of futures trading on spot price volatility: evidence for Brent crude oil using GARCH,Journal of Business Finance and Accounting,19, 473–84

3. Analysis of spreads in agricultural futures

4. Rational speculative bubbles in the gold futures market: An application of dynamic factor analysis

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