Quantification of the high level of endogeneity and of structural regime shifts in commodity markets
Year of publication: |
2014
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Authors: | Filimonov, Vladimir ; Bicchetti, David ; Maystre, Nicolas ; Sornette, Didier |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 42.2014, p. 174-192
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Subject: | Commodities | Endogeneity | Reflexivity | Branching processes | Bubble | Oil | Regime shift | Self-excitation | Rohstoffmarkt | Commodity market | Volatilität | Volatility | Spekulationsblase | Bubbles | Rohstoffderivat | Commodity derivative |
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