An application of models of speculative behaviour to oil prices

Shuping Shi and Vipin Arora ()

Economics Letters, 2012, vol. 115, issue 3, 469-472

Abstract: 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.

Keywords: Oil price; Bubble; Speculative behaviour; Three-regime; Estimation (search for similar items in EconPapers)
JEL-codes: C5 Q4 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (44)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176511006495
Full text for ScienceDirect subscribers only

Related works:
Working Paper: AN APPLICATION OF MODELS OF SPECULATIVE BEHAVIOUR TO OIL PRICES (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:469-472

DOI: 10.1016/j.econlet.2011.12.126

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().