The objective of this paper is to examine causality and feedback relationships between primary commodity prices and US inflation. To this end, the bivariate noisy Mackey–Glass process recently developed by Kyrtsou and Labys [Evidence for chaotic dependence between US inflation and commodity...

This study provides empirical evidence of the relationship between spot and futures markets in Korea. In particular, the study focuses on the volatility spillover relationship between spot and futures markets by using three high-frequency (10 min, 30 min, and 1 h time-scales) intraday data sets...

We introduce the concept of “negative bubbles” as the mirror (but not necessarily exactly symmetric) image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the...

We present a novel analysis extending the recent work of Mizuno et al. (Physica A 308 (2002) 411) on the hyperinflations of Germany (1920/1/1–1923/11/1), Hungary (1945/4/30–1946/7/15), Brazil (1969–1994), Israel (1969–1985), Nicaragua (1969–1991), Peru (1969–1990) and Bolivia...

The dynamics of the generalized CEV process dXt=aXtndt+bXtmdWt(gCEV) is due to an interplay of two feedback mechanisms: State-to-Drift and State-to-Diffusion, whose degrees are n and m respectively. We particularly show that the gCEV, in which both feedback mechanisms are positive, i.e. n,m1,...