An application of models of speculative behaviour to oil prices

Shuping Shi*, Vipin Arora

*Corresponding author for this work

Research output: Contribution to journalArticle

23 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)469-472
Number of pages4
JournalEconomics Letters
Volume115
Issue number3
DOIs
Publication statusPublished - Jun 2012
Externally publishedYes

Keywords

  • Bubble
  • Estimation
  • Oil price
  • Speculative behaviour
  • Three-regime

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