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Applied Economics and Policy Analysis Research Seminar Series

Testing for bubbles in commodity spot and futures using a co-explosive autoregression

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Seminars

Virtually all studies of asset price bubbles are carried out in a univariate framework. By contrast, we examine questions of bubble identification and consequently, market efficiency using a bivariate approach.

  • From: Wednesday 4 March 2020, 2.30 pm
  • To: Wednesday 4 March 2020, 3.30 pm
  • Location: N47A / N47B, Newton building, City Campus, Nottingham, NG1 4BU
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Virtually all studies of asset price bubbles are carried out in a univariate framework. By contrast, we examine questions of bubble identification and consequently, market efficiency using a bivariate approach. Firstly, we model whether the WTI crude oil price run up of 2007-2008 can be attributed to the existence of a bubble. Secondly, as an alternative approach, we apply recent univariate bubble tests to the difference between futures and spot prices. We finish with an evaluation regarding the most appropriate approach to bubble identification in commodity markets.

Prof Neil Kellard’s (Dean of Essex Business School, University of Essex) research is in Finance (Financial inclusion, Derivative market efficiency, commodity portfolios, bubbles, hedge funds, hedge ratios, return predictability, asset price volatility), International Finance (Forward premium puzzle, purchasing power parity), Development (Inclusive growth, Prebisch-Singer hypothesis, modelling and forecasting commodity prices, linkages between commodities, growth and poverty, the food crisis, political regime and health) and Applied econometrics (Spurious regressions, panel, forecasting, long memory, fractional cointegration and structural breaks, GARCH modelling).

He recently published articles in British Journal of Management, Finance Research Letters, Journal of Futures Markets, World Development, Social Science and Medicine, The European Journal of Finance, Quantitative Finance, Journal of International Money and Finance, Journal of Banking & Finance.

Location details

Address:

N47A / N47B
Newton building
City Campus
Nottingham
NG1 4BU

Past event

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