| The soft commodities multiple bubbles tests: evidence from the New York Futures Markets | |
|---|---|
| 學年 | 109 |
| 學期 | 1 |
| 出版（發表）日期 | 2020-12-14 |
| 作品名稱 | The soft commodities multiple bubbles tests: evidence from the New York Futures Markets |
| 作品名稱（其他語言） | |
| 著者 | Chiu, Chien-liang |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Applied Economics Letters 29(3), p.206-211 |
| 摘要 | The soft commodity is a high-frequency trading market. We use the right-tailed unit root tests of Phillips et al. to investigate asset bubbles within and to detect explosive episodes on each soft commodity sample date set. Our empirical test uses weekly data from New York soft commodity market and finds bubbles existed in each of the soft commodities. The test model allows us to exam each bubble’s origination and termination dates using date-stamping in the recursive procedure. We found that the soft commodities bubble is more relevant to the man-made factor. |
| 關鍵字 | Soft commodity;GSADF Model;bubble;commodity features |
| 語言 | en |
| ISSN | 1466-4291 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125190 ) |
| SDGS | 優質教育 |
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