An application of models of speculative behaviour to oil prices

We estimate three different models of speculative behaviour using oil price data. Our findings provide support for the claim by Phillips and Yu (2011) and Gilbert (2010) that a bubble in oil prices existed for a short period in 2008.

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Year of publication:	2012
Authors:	Shi, Shuping ; Arora, Vipin
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 3, p. 469-472
Publisher:	Elsevier
Subject:	Oil price \| Bubble \| Speculative behaviour \| Three-regime \| Estimation

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Type of publication:	Article
Classification:	C5 - Econometric Modeling ; Q4 - Energy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572261