Smooth transition regime shifts and oil price dynamics
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DOI: 10.1016/j.eneco.2013.03.006
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Cited by:
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- Cifarelli, Giulio & Paesani, Paolo, 2017.
"On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016,"
MPRA Paper
84009, University Library of Munich, Germany.
- Giulio Cifarelli & Paolo Paesani, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," Working Papers - Economics wp2017_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Giulio Cifarelli and Paolo Paesani, 2021.
"Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Cifarelli, Giulio & Paesani, Paolo, 2018. "Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing," MPRA Paper 90470, University Library of Munich, Germany.
- Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
- Cologni, Alessandro & Scarpa, Elisa & Sitzia, Francesco Giuseppe, 2015. "Big Fish: Oil Markets and Speculation," Energy: Resources and Markets 206220, Fondazione Eni Enrico Mattei (FEEM).
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More about this item
Keywords
Oil price bubble; Dynamic hedging; Logistic smooth transition; Multivariate GARCH;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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