Show simple item record

dc.contributor.authorFiguerola Ferretti Garrigues, Isabel Catalinaes-ES
dc.contributor.authorMcCrorie, Roderickes-ES
dc.contributor.authorGilbert, Christopher L.es-ES
dc.date.accessioned2016-02-25T11:59:20Z
dc.date.available2016-02-25T11:59:20Z
dc.date.issued01/09/2015es_ES
dc.identifier.issn0143-9782es_ES
dc.identifier.urihttp://hdl.handle.net/11531/6538
dc.descriptionArtículos en revistases_ES
dc.description.abstractNo procedees-ES
dc.description.abstractThis article applies the mildly explosive/multiple bubbles testing methodology developed by Phillips et al. (2015a, InternationalEconomic Review, forthcoming) to examine the recent time series behaviour of the six main London Metal Exchangenon-ferrous metals prices. We detect periods of mild explosivity in the cash and 3-month futures price series in each of copper, nickel, lead, zinc and tin, but not in aluminium. We argue that convenience yield, although the formal counterpart to dividendyield in commodity markets, is not a useful basis on which to assess whether observed explosivity is indicative of bubbles. Weconstruct other measures that suggest the observed explosivity in the non-ferrous metals market can be associated with tight physical markets.en-GB
dc.format.mimetypeapplication/pdfes_ES
dc.language.isoen-GBes_ES
dc.rightses_ES
dc.rights.uries_ES
dc.sourceRevista: Journal of Time Series Analysis, Periodo: 2, Volumen: 36, Número: 5, Página inicial: 763, Página final: 782es_ES
dc.titleTesting for bubbles in LME Metals Marketses_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.description.versioninfo:eu-repo/semantics/publishedVersiones_ES
dc.rights.holderEl Journal tiene los derechos de autores_ES
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccesses_ES
dc.keywordsNo procedees-ES
dc.keywordsMildly explosive process; recursive regression; generalized sup ADF test; economic bubbles; commodity prices; non-ferrous metals;en-GB


Files in this item

Thumbnail

This item appears in the following Collection(s)

  • Artículos
    Artículos de revista, capítulos de libro y contribuciones en congresos publicadas.

Show simple item record