An application of models of speculative behaviour to oil prices

Shuping Shi; Vipin Arora

doi:10.1016/j.econlet.2011.12.126

An application of models of speculative behaviour to oil prices

Shuping Shi^*, Vipin Arora

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

39 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 language	English
Pages (from-to)	469-472
Number of pages	4
Journal	Economics Letters
Volume	115
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2011.12.126
Publication status	Published - Jun 2012
Externally published	Yes

Keywords

Bubble
Estimation
Oil price
Speculative behaviour
Three-regime

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10.1016/j.econlet.2011.12.126

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title = "An application of models of speculative behaviour to oil prices",

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 = "Bubble, Estimation, Oil price, Speculative behaviour, Three-regime",

author = "Shuping Shi and Vipin Arora",

year = "2012",

month = jun,

doi = "10.1016/j.econlet.2011.12.126",

language = "English",

volume = "115",

pages = "469--472",

journal = "Economics Letters",

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AU - Arora, Vipin

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AB - 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.

KW - Bubble

KW - Estimation

KW - Oil price

KW - Speculative behaviour

KW - Three-regime

UR - https://www.scopus.com/pages/publications/84856068370

U2 - 10.1016/j.econlet.2011.12.126

DO - 10.1016/j.econlet.2011.12.126

M3 - Article

AN - SCOPUS:84856068370

SN - 0165-1765

VL - 115

SP - 469

EP - 472

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

An application of models of speculative behaviour to oil prices

Abstract

Keywords

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