Exploring the WTI crude oil price bubble process using the Markov regime switching model

DOI10.1016/J.PHYSA.2014.11.051zbMath1402.91931OpenAlexW1988072538MaRDI QIDQ1783335

Yue-Jun Zhang, Jing Wang

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.11.051

zbMATH Keywords

price bubblesMarkov regime switching modelWTI crude oil price

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

A path-independent method for barrier option pricing in hidden Markov models ⋮ Risk management for crude oil futures: an optimal stopping-timing approach

Cites Work

• Rational asset pricing bubbles and debt constraints
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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