Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
switching analysis based on the WTI crude oil futures price, CFTC disaggregated data, and fundamentals of the oil price. The … investigates the hypothesis of speculative trading. To do so, we develop a Markov switching analysis based on the WTI crude oil … futures price, CFTC disaggregated data, and fundamentals of the oil price. The benefits of this approach are twofold: (1) the …