Quantification of the high level of endogeneity and of structural regime shifts in commodity markets - Research Collection

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Author

Filimonov, Vladimir

Bicchetti, David

Maystre, Nicolas

Sornette, Didier

Date

2014-04

Type

Journal Article

Citations

Cited 11 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.jimonfin.2013.08.010

Journal / series

Journal of International Money and Finance

Volume

42

Pages / Article No.

174 - 192

Publisher

Elsevier

Subject

Branching processes; Bubble; Commodities; Endogeneity; Oil; Reflexivity; Regime shift; Self-excitation

Organisational unit

03738 - Sornette, Didier / Sornette, Didier

Notes

Available online 29 August 2013.

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Citations

Cited 11 times in Web of Science

ETH Bibliography

yes

Altmetrics