Exploring the WTI crude oil price bubble process using the Markov regime switching model

DOI10.1016/J.PHYSA.2014.11.051zbMATH Open1402.91931OpenAlexW1988072538MaRDI QIDQ1783335FDOQ1783335

Authors: Yue-Jun Zhang, Jing Wang 

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.11.051

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zbMATH Keywords

price bubblesMarkov regime switching modelWTI crude oil price

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Rational asset pricing bubbles and debt constraints

Cited In (5)

• Title not available (Why is that?)
• REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL
• A path-independent method for barrier option pricing in hidden Markov models
• Risk management for crude oil futures: an optimal stopping-timing approach
• A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood

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