SPECULATIVE INFLUENCES ON COMMODITY FUTURES PRICES 2006-2008

2010

193 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/fb1f8ff1bcaa68c5d57363a920285be52bea2b87

Citations in the corpus

• Tests for explosive financial bubbles in the presence of non-stationary volatility☆ (2016, unknown): “Gilbert (2010) employs the PWY test to investigate for the presence of speculative bubbles in commodities futures prices over 2000-2009, finding evidence of bubbles in the copper, nickel and crude oil markets. Homm and Breitung (2012) apply the PWY test and a related Chow-type test to stock price, c”
• Drivers and triggers of international food price spikes and volatility (2014, unknown): “Another strand of research seeks to identify bubble behavior—that is, explosive increases in prices—in commodity markets during the period 2007–2008 (Gilbert 2009; Phillips and Yu 2011; Shi and Arora 2012).”
• Speculative bubbles in agricultural commodity markets (2013, unknown): “Under the null hypothesis of a unit root, the OLS estimator of r in equation (7) and the tr̂ ADF statistic are both functions of a Wiener process, see for example Hamilton (1994), and thus also suprec ADF or suprol ADF test statistics will be functions of a Wiener process, see Gutierrez (2011). Phil”
• Bubbles in food commodity markets: Four decades of evidence ☆ (2014, unknown): “Four recent studies have tested for the presence of bubble components in various agricultural prices over the past few years and find mixed results (Gilbert, 2010; Phillips and Yu, 2011; Gutierrez, 2012; Etienne, Irwin, and Garcia, 2012). These studies utilize new bubble tests developed by Phillips,”
• Can economic policy uncertainty and investors sentiment predict commodities returns and volatility (2017, unknown): “MARK factors are important to predict the future commodity price movements (see for example, Büyükşahin and Robe (2014), Gilbert (2010), Hamilton and Wu (2015), Irwin and Sanders (2011) and Tang and Xiong (2012).”
• Testing the Masters Hypothesis in Commodity Futures Markets (2012, unknown): “In subsequent work, Gilbert (2010) finds evidence of significant relationship between index fund trading and food price changes.”
• Testing for Mild Explosivity and Bubbles in LME Non‐Ferrous Metals Prices (2015, unknown): “However, non-ferrous metals markets benefit from the availability of high quality data, and as Gilbert (2010) showed, there is evidence that non-ferrous metals prices may have been subject to multiple periods of explosive prices during the initial decade of this century.”
• Financialization and Structural Change in Commodity Futures Markets (2012, unknown): “In subsequent work, Gilbert (2010) finds evidence of a significant relationship between index fund trading and food price changes.”