RePEcEconometrics & Forecasting
Regime Switching in Commodity Prices
A study from 1959 to 2022 using a 3-state Markov-switching model found that oil prices are more volatile than copper prices, reacting more to market cartelization, war episodes, and global demand shifts.
Featured in No. 38 on 21 Feb 2024 · on release day
- Released
- 21 Feb 2024
- First featured
- No. 38 · 21 Feb 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 11
- Identifier
- RePEc:taf:apeclt:v:31:y:2024:i:4:p:338-345
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).