Commodity markets through the business cycle

DOI10.1080/14697688.2013.842651zbMath1402.91675OpenAlexW2089540069MaRDI QIDQ5245914

Mathieu Gatumel, Florian Ielpo, Julien Chevallier

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.842651

zbMATH Keywords

business cyclenewsMarkov-switchingcommodities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Portfolio theory (91G10)

Related Items (2)

Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities ⋮ Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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