Caspi, Itamar; Katzke, Nico; Gupta, Rangan - Institut de Préparation à l'Administration et à la … - 2014
This paper sets out to date-stamp periods of historic oil price explosivity (or bubbles) us- ing the Generalized sup ADF (GSADF) test procedure suggested by Phillips et al. (2013). The date-stamping strategy used in this paper is effective at identifying periodically col- lapsing bubbles; a...