Are there really bubbles in oil prices?
| dc.contributor.author | Balcilar, Mehmet | |
| dc.contributor.author | Ozdemir, Zeynel Abidin | |
| dc.contributor.author | Yetkiner, Hakan | |
| dc.date.accessioned | 2015-01-26T10:06:19Z | |
| dc.date.available | 2015-01-26T10:06:19Z | |
| dc.date.issued | 2014-12 | |
| dc.description.abstract | The aim of this paper is to identify bubbles in oil prices by using the ‘‘exponential fitting’’ methodology proposed by Watanabe et al. (2007) [28,29].Weuse the daily US dollar closing crude oil prices of West Texas Intermediate (WTI) covering the 1986:01:02–2013:07:09 and the Brent for the 1987:05:20–2013:07:09 periods. The distinguishing feature of this study from the previous studies is that this is the first study in the literature showing the existence of bubbles in crude oil prices. We found that there are four distinct periods of persistent bubbles in the crude oil prices since 1986. Two of these persistent bubbles are before 2000 and two of them are after 2000. We conclude that further research is needed to understand better how futures markets may impact the oil price formation. | en_ZA |
| dc.description.librarian | hb2015 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/physa | en_ZA |
| dc.identifier.citation | Balcilar, M, Ozdemir, ZA & Yetkiner, H 2014, 'Are there really bubbles in oil prices?', Physica A : Statistical Mechanics and its Applications, vol 146, pp. 631-638. | en_ZA |
| dc.identifier.issn | 0378-4371 (print) | |
| dc.identifier.issn | 1873-2119 (online) | |
| dc.identifier.other | 10.1016/j.physa.2014.09.020 | |
| dc.identifier.uri | http://hdl.handle.net/2263/43424 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2014 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Physica A : Statistical Mechanics and its Applications Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Physica A : Statistical Mechanics and its Applications, vol. 416, pp. 631-638, 2014. doi : 10.1016/j.physa.2014.09.020 | en_ZA |
| dc.subject | Crude oil price | en_ZA |
| dc.subject | Exponential fitting | en_ZA |
| dc.subject | Bubbles | en_ZA |
| dc.title | Are there really bubbles in oil prices? | en_ZA |
| dc.type | Postprint Article | en_ZA |