期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 421, 期 -, 页码 377-387出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2014.11.051
关键词
WTI crude oil price; Price bubbles; Markov regime switching model
资金
- National Natural Science Foundation of China [71001008, 71273028, 71322103, 71431008]
The sharp volatility of West Texas Intermediate (WTI) crude oil price in the past decade triggers us to investigate the price bubbles and their evolving process. Empirical results indicate that the fundamental price of WTI crude oil appears relatively more stable than that of the market-trading price, which verifies the existence of oil price bubbles during the sample period. Besides, by allowing the WTI crude oil price bubble process to switch between two states (regimes) according to a first-order Markov chain, we are able to statistically discriminate upheaval from stable states in the crude oil price bubble process; and in most of time, the stable state dominates the WTI crude oil price bubbles while the upheaval state usually proves short-lived and accompanies unexpected market events. (C) 2014 Elsevier B.V. All rights reserved.
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