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

DOI10.1016/J.PHYSA.2014.11.051MaRDI QIDQ1783335zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

price bubblesMarkov regime switching modelWTI crude oil price

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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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)

• Risk management for crude oil futures: an optimal stopping-timing approach
• scientific article; zbMATH DE number 7255562 (Why is no real title available?)
• 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
• A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood

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