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Commodity price fluctuations: Price dependent delays and nonlinearities as explanatory factors

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Cited by:

  1. Joanne S. McGarry & Marcus J. Chambers, 2004. "Party formation and coalitional bargaining in a model of proportional representation," Discussion Papers 04-07, Department of Economics, University of Birmingham.
  2. Victor Olkhov, 2021. "Three Remarks On Asset Pricing," Papers 2105.13903, arXiv.org, revised Jan 2024.
  3. Hommes, Cars & Li, Kai & Wagener, Florian, 2022. "Production delays and price dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 341-362.
  4. Ghassan Dibeh, 2001. "Time Delays and Business Cycles: Hilferding's model revisited," Review of Political Economy, Taylor & Francis Journals, vol. 13(3), pages 329-341.
  5. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "An analysis of time-varying commodity market price discovery," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 122-133.
  6. Xie, Qingshuang & Wang, Tonghuan & Zeng, Chunhua & Dong, Xiaohui & Guan, Lin, 2018. "Predicting fluctuations-caused regime shifts in a time delayed dynamics of an invading species," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 69-83.
  7. He, Xue-Zhong & Li, Kai & Wei, Junjie & Zheng, Min, 2009. "Market stability switches in a continuous-time financial market with heterogeneous beliefs," Economic Modelling, Elsevier, vol. 26(6), pages 1432-1442, November.
  8. Fernandez-Anaya, Guillermo & Alvarez-Ramirez, Jose & Ibarra-Valdez, Carlos, 2007. "On feedback and stable price adjustment mechanisms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 211-226.
  9. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
  10. He, Xue-Zhong & Li, Kai, 2012. "Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 973-987.
  11. Xue-Zhong He, 2012. "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series 316, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. He, Xue-Zhong & Zheng, Min, 2010. "Dynamics of moving average rules in a continuous-time financial market model," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 615-634, December.
  13. Sophie Mitra & Jean-Marc Boussard, 2008. "Storage and the Volatility of Agricultural Prices: A Model of Endogenous Fluctuations," Fordham Economics Discussion Paper Series dp2008-11, Fordham University, Department of Economics.
  14. Dieci, Roberto & Mignot, Sarah & Westerhoff, Frank, 2022. "Production delays, technology choice and cyclical cobweb dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
  15. Luca Gori & Luca Guerrini & Mauro Sodini, 2014. "Hopf Bifurcation in a Cobweb Model with Discrete Time Delays," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-8, June.
  16. Chen, Jianxin & Zhang, Tonghua & Zhou, Yongwu, 2020. "Dynamics of a risk-averse newsvendor model with continuous-time delay in supply chain financing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 169(C), pages 133-148.
  17. Chambers, Marcus J., 1998. "The estimation of systems of joint differential-difference equations," Journal of Econometrics, Elsevier, vol. 85(1), pages 1-31, July.
  18. Matsumoto, Akio & Szidarovszky, Ferenc, 2015. "Delay dynamics of a Cournot game with heterogeneous duopolies," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 699-713.
  19. Xue-Zhong He & Kai Li, 2014. "Time Series Momentum and Market Stability," Research Paper Series 341, Quantitative Finance Research Centre, University of Technology, Sydney.
  20. repec:rri:wpaper:200501 is not listed on IDEAS
  21. Berg, Ernst, 2017. "Impacts of Inventory Management on Price Volatility in Agricultural Commodity Markets: Insights from a System Dynamics Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 261281, European Association of Agricultural Economists.
  22. Sophie Mitra & Jean‐Marc Boussard, 2012. "A simple model of endogenous agricultural commodity price fluctuations with storage," Agricultural Economics, International Association of Agricultural Economists, vol. 43(1), pages 1-15, January.
  23. Nicoleta SÎRGHI & Gabriela MIRCEA & Mihaela NEAMŢU & Laura Mariana CISMAŞ & Camelia HAŢEGAN, 2016. "Stability Analysis Of Some Dynamical Models For Prices With Distributed Delays," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 135-152.
  24. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  25. Labys, W C & Lesourd, J B & Badillo, D, 1998. "The existence of metal price cycles," Resources Policy, Elsevier, vol. 24(3), pages 147-155, September.
  26. Paul Zak, 1999. "Kaleckian Lags in General Equilibrium," Review of Political Economy, Taylor & Francis Journals, vol. 11(3), pages 321-330.
  27. Wang, Shu & Zhou, Baicheng & Gao, Tianshu, 2023. "Speculation or actual demand? The return spillover effect between stock and commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
  28. Walter C. Labys, 2003. "New Directions in the Modeling and Forecasting of Commodity Markets," Mondes en développement, De Boeck Université, vol. 122(2), pages 3-19.
  29. Walter Labys, 2005. "Commodity Price Fluctuations: A Century of Analysis," Working Papers Working Paper 2005-01, Regional Research Institute, West Virginia University.
  30. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
  31. Jin, Hyun Joung & Frechette, Darren L., 2002. "Fractal Geometry In Agricultural Cash Price Dynamics," 2002 Annual meeting, July 28-31, Long Beach, CA 19696, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  32. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
  33. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universtiy of Montpellier, revised Jun 2015.
  34. M. Burton, 1993. "Some Illustrations Of Chaos In Commodity Models," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(1), pages 38-50, January.
  35. Liao, Xiaofeng & Li, Chuandong & Zhou, Shangbo, 2005. "Hopf bifurcation and chaos in macroeconomic models with policy lag," Chaos, Solitons & Fractals, Elsevier, vol. 25(1), pages 91-108.
  36. Uwe Küchler & Eckhard Platen, 2007. "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series 195, Quantitative Finance Research Centre, University of Technology, Sydney.
  37. Hu, Min & Zhang, Dayong & Ji, Qiang & Wei, Lijian, 2020. "Macro factors and the realized volatility of commodities: A dynamic network analysis," Resources Policy, Elsevier, vol. 68(C).
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