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

被引：42
作者：
Zhang, Yue-Jun [1 ,2 ]
Wang, Jing [3 ]
机构：
[1] Hunan Univ, Sch Business, Changsha 410082, Hunan, Peoples R China
[2] Hunan Univ, Ctr Resource & Environm Management, Changsha 410082, Hunan, Peoples R China
[3] CNPC Econ & Technol Res Inst, Beijing 100724, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2015年 / 421卷
基金：
中国国家自然科学基金;
关键词：
WTI crude oil price; Price bubbles; Markov regime switching model; SPECULATIVE BUBBLES; FUTURES PRICES; TIME-SERIES; DYNAMICS; RETURNS; MARKETS; RISK;
D O I：
10.1016/j.physa.2014.11.051
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The sharp volatility of West Texas Intermediate (WTI) crude oil price in the past decade triggers us to investigate the price bubbles and their evolving process. Empirical results indicate that the fundamental price of WTI crude oil appears relatively more stable than that of the market-trading price, which verifies the existence of oil price bubbles during the sample period. Besides, by allowing the WTI crude oil price bubble process to switch between two states (regimes) according to a first-order Markov chain, we are able to statistically discriminate upheaval from stable states in the crude oil price bubble process; and in most of time, the stable state dominates the WTI crude oil price bubbles while the upheaval state usually proves short-lived and accompanies unexpected market events. (C) 2014 Elsevier B.V. All rights reserved.
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页码：377 / 387
页数：11
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