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Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach
16 references·3 citing·51 second hopsampled
Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach (2020)Identifying price bubbles in the US, Euro…Oil shocks and stock markets revisited: Measuring connectedness from a global perspective (2017)Oil shocks and stock markets …Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Testing for multiple bubbles:…TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)TESTING FOR MULTIPLE BUBBLES:…What drives natural gas prices? — A structural VAR approach (2014)What drives natural gas price…Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)Testing for Speculative Bubbl…Dating the timeline of financial bubbles during the subprime crisis (2011)Dating the timeline of financ…Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Exogenous Oil Supply Shocks: …ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)ECONOMETRIC TESTS OF ASSET PR…The Relationship Between Crude Oil and Natural Gas Prices (2006)The Relationship Between Crud…Testing for Market Integration Crude Oil, Coal, and Natural Gas (2006)Testing for Market Integratio…International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan (2005)International market integrat…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Asset Bubbles and Overlapping Generations (1985)Asset Bubbles and Overlapping…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…Which risks drive European natural gas bubbles? Novel evidence from geopolitics and climate (2023)Which risks drive European na…A residual driven ensemble machine learning approach for forecasting natural gas prices: analyses for pre-and during-COVID-19 phases (2022)A residual driven ensemble ma…Identifying price bubble periods in the Bitcoin market-based on GSADF model (2021)Identifying price bubble peri…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Ants, Rationality, and Recruitment (1993)Efficient market hypothesis and forecasting (2003)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Noise (1986)Predicting returns in the stock and bond markets (1986)Good Day Sunshine: Stock Returns and the Weather (2003)Expected Stock Returns and Variance Risk Premia (2009)Oil and the Macroeconomy since World War II (1983)This is what happened to the oil price-macroeconomy relationship (1996)What is an Oil Shock? (2000)What do we learn from the price of crude oil futures? (2010)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Financialization of Commodity Markets (2013)An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money (1958)A Random Walk Down Wall Street (1973)Variance Bounds Tests and Stock Price Valuation Models (1986)Overlapping families of infinitely-lived agents (1989)Chapter 25 Government debt (1999)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Bubble diagnosis and prediction of the 2005–2007 and 2008–2009 Chinese stock market bubbles (2010)Commodity Booms and Busts (2010)Financial Crises: Explanations, Types and Implications (2013)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Bubbles in food commodity markets: Four decades of evidence (2013)The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets (2020)Impact of climate policy uncertainty on traditional energy and green markets: Evidence from time-varying granger tests (2022)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Unit root tests in panel data: asymptotic and finite-sample properties (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)The Econometrics of Financial Markets (1997)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Index Funds, Financialization, and Commodity Futures Markets (2011)Negative bubbles and shocks in cryptocurrency markets (2016)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)The impact of institutional trading on stock prices (1992)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Corn Cash Price Forecasting (2020)
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References

  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 2015TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 5001,123 cited
  • 2008Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?926 cited
  • 1985Asset Bubbles and Overlapping Generations853 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 2011Dating the timeline of financial bubbles during the subprime crisis586 cited
  • 2015Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles479 cited
  • 2008ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK*466 cited
  • 2011Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods455 cited
  • 2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective382 cited
  • 2006Testing for Market Integration Crude Oil, Coal, and Natural Gas292 cited
  • 2005International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan230 cited

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  • 2014What drives natural gas prices? — A structural VAR approach217 cited
  • 2006The Relationship Between Crude Oil and Natural Gas Prices200 cited
  • Cited by

    • 2023Which risks drive European natural gas bubbles? Novel evidence from geopolitics and climate72 cited
    • 2022A residual driven ensemble machine learning approach for forecasting natural gas prices: analyses for pre-and during-COVID-19 phases38 cited
    • 2021Identifying price bubble periods in the Bitcoin market-based on GSADF model25 cited