Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices-Reference-Cited by-同舟云学术

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Testing for Mild Explosivity and Bubbles in LME Non-Ferrous Metals Prices

Published:2015-02-03 Issue:5 Volume:36 Page:763-782
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Figuerola-Ferretti Isabel¹,Gilbert Christopher L.²,McCrorie J. Roderick³

Affiliation:

1. ICADE, Universidad Pontificia de Comillas, Madrid, Spain & Research Centre for Energy Management, ESCP Europe

2. SAIS Bologna Center; Johns Hopkins University; Bologna Italy

3. School of Economics & Finance; University of St Andrews; St Andrews UK

Funder

Spanish Ministry of Education and Science

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12121/fullpdf

Reference33 articles.

1. Stocks-to-use ratios and prices as indicators of vulnerability to spikes in global cereal markets;Bobenrieth;Agricultural Economics,2013

2. Learning about risk and return: a simple model of bubbles and crashes;Branch;American Economic Journal: Macroeconomics,2011

3. Coakley J Kellard N Tsvetanov D 2014 Bubbling over! The behavior of long-dated oil futures prices

4. Integration versus trend stationarity in time series;DeJong;Econometrica,1992

5. Bubbles in food commodity markets: four decades of evidence;Etienne;Journal of International Money and Finance,2014

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