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Rational speculative bubbles and commodities markets: application of duration dependence test

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  • Riza Emekter
  • Benjamas Jirasakuldech
  • Peter Went
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    Abstract

    The presence of rational speculative bubbles in 28 commodities is investigated using the duration dependence test on the stochastic interest-adjusted basis. Eleven of 28 commodities experienced some episodes of rational speculative bubble. These commodities are West Texas Intermediate (WTI) crude oil, coffee, corn, soya bean No. 2, soya bean meal and oil, wheat No. 2 soft red and hard winter wheat, lean hogs, gold and platinum. Additionally, natural gas, propane, live cattle, and pork bellies exhibit mean-reversion in the interest-adjusted basis.

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    File URL: http://hdl.handle.net/10.1080/09603107.2011.619496
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 22 (2012)
    Issue (Month): 7 (April)
    Pages: 581-596

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    Handle: RePEc:taf:apfiec:v:22:y:2012:i:7:p:581-596

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