{"id":"https://openalex.org/W3122080968","doi":"https://doi.org/10.1016/j.jimonfin.2013.08.010","title":"Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets","display_name":"Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W3122080968","doi":"https://doi.org/10.1016/j.jimonfin.2013.08.010","mag":"3122080968"},"language":"en","primary_location":{"id":"doi:10.1016/j.jimonfin.2013.08.010","doi":"https://doi.org/10.1016/j.jimonfin.2013.08.010","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jimonfin.2013.08.010","pdf_url":null,"source":{"id":"https://openalex.org/S10747938","display_name":"Journal of International Money and Finance","issn_l":"0261-5606","issn":["0261-5606","1873-0639"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of International Money and Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2237392","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5069046857","display_name":"Vladimir Filimonov","orcid":"https://orcid.org/0000-0002-7908-0933","observed_orcids":["https://orcid.org/0000-0002-7908-0933","https://orcid.org/0000-0003-1118-6608"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Vladimir Filimonov","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5079312520","display_name":"David Bicchetti","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"David Bicchetti","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5002054293","display_name":"Nicolas Maystre","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Nicolas Maystre","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5057002364","display_name":"Didier Sornette","orcid":"https://orcid.org/0000-0001-7874-7962","observed_orcids":["https://orcid.org/0000-0001-7874-7962"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Didier Sornette","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3130,"currency":"USD","value_usd":3130},"apc_paid":null,"fwci":17.2235,"has_fulltext":false,"cited_by_count":72,"citation_normalized_percentile":{"value":0.98921186,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"42","issue":null,"first_page":"174","last_page":"192"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.6640999913215637,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.6640999913215637,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.17399999499320984,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.1251000016927719,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/endogeneity","display_name":"endogeneity","score":0.6370000243186951},{"id":"https://openalex.org/keywords/commodity-futures-markets","display_name":"commodity futures markets","score":0.9020000100135803},{"id":"https://openalex.org/keywords/price-changes","display_name":"price changes","score":0.4560000002384186},{"id":"https://openalex.org/keywords/news-impact","display_name":"news effects","score":0.550000011920929},{"id":"https://openalex.org/keywords/maize","display_name":"maize","score":0.328000009059906},{"id":"https://openalex.org/keywords/oil","display_name":"oil","score":0.8849999904632568},{"id":"https://openalex.org/keywords/soybean","display_name":"soybean","score":0.9900000095367432},{"id":"https://openalex.org/keywords/sugar","display_name":"sugar","score":0.9679999947547913},{"id":"https://openalex.org/keywords/wheat","display_name":"wheat","score":0.9990000128746033},{"id":"https://openalex.org/keywords/s-p-500-index-futures","display_name":"S&P 500 futures","score":0.9120000004768372},{"id":"https://openalex.org/keywords/financial-contagion","display_name":"financial contagion","score":0.4269999861717224}],"concepts":[{"id":"https://openalex.org/C610760","wikidata":"https://www.wikidata.org/wiki/Q1340706","display_name":"Endogeneity","level":2,"score":0.7370413541793823},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7254748344421387},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.5858163237571716},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5504933595657349},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.49977684020996094},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.44371482729911804},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.37900906801223755},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1016/j.jimonfin.2013.08.010","doi":"https://doi.org/10.1016/j.jimonfin.2013.08.010","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jimonfin.2013.08.010","pdf_url":null,"source":{"id":"https://openalex.org/S10747938","display_name":"Journal of International Money and Finance","issn_l":"0261-5606","issn":["0261-5606","1873-0639"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of International Money and Finance","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2237392","doi":"https://doi.org/10.2139/ssrn.2237392","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2237392","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:unc:dispap:212","doi":null,"is_oa":false,"landing_page_url":"https://unctad.org/system/files/official-document/osgdp20132_en.pdf","pdf_url":"https://unctad.org/system/files/official-document/osgdp20132_en.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:aleph.bib-bvb.de:BVB01-027228600","doi":null,"is_oa":false,"landing_page_url":"http://www.gbv.de/dms/zbw/779260678.pdf","pdf_url":"http://www.gbv.de/dms/zbw/779260678.pdf","source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.423.975","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.423.975","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.imf.org/external/np/seminars/eng/2012/commodity/pdf/filimonov.pdf","raw_type":"text"},{"id":"mag:3122080968","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/paper/uncdispap/212.htm","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:eee:jimfin:v:42:y:2014:i:c:p:174-192","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0261560613001125","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2237392","doi":"https://doi.org/10.2139/ssrn.2237392","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2237392","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":74,"referenced_works":["https://openalex.org/W66483636","https://openalex.org/W138372711","https://openalex.org/W1024893723","https://openalex.org/W1507281218","https://openalex.org/W1535277709","https://openalex.org/W1868211612","https://openalex.org/W1940481756","https://openalex.org/W1965657651","https://openalex.org/W1972754097","https://openalex.org/W1973168503","https://openalex.org/W1974209637","https://openalex.org/W1976592774","https://openalex.org/W1980358344","https://openalex.org/W1981258337","https://openalex.org/W1982265305","https://openalex.org/W1984784237","https://openalex.org/W1985058574","https://openalex.org/W1985808284","https://openalex.org/W1990858912","https://openalex.org/W1992059898","https://openalex.org/W1998404609","https://openalex.org/W1999735946","https://openalex.org/W1999917207","https://openalex.org/W2000171172","https://openalex.org/W2031052047","https://openalex.org/W2034664902","https://openalex.org/W2044420711","https://openalex.org/W2045288439","https://openalex.org/W2050031929","https://openalex.org/W2050238052","https://openalex.org/W2052877147","https://openalex.org/W2053899470","https://openalex.org/W2057157111","https://openalex.org/W2063628681","https://openalex.org/W2064758233","https://openalex.org/W2069849731","https://openalex.org/W2071778976","https://openalex.org/W2076072287","https://openalex.org/W2093566982","https://openalex.org/W2100381995","https://openalex.org/W2100627508","https://openalex.org/W2103368690","https://openalex.org/W2103461979","https://openalex.org/W2103651466","https://openalex.org/W2108032253","https://openalex.org/W2113883339","https://openalex.org/W2116988722","https://openalex.org/W2122063809","https://openalex.org/W2133605960","https://openalex.org/W2141696102","https://openalex.org/W2145546162","https://openalex.org/W2148135816","https://openalex.org/W2155187653","https://openalex.org/W2157482287","https://openalex.org/W2168953286","https://openalex.org/W2259110364","https://openalex.org/W2904888352","https://openalex.org/W2949739345","https://openalex.org/W2969793651","https://openalex.org/W3121146574","https://openalex.org/W3121612919","https://openalex.org/W3121960989","https://openalex.org/W3121989436","https://openalex.org/W3122586453","https://openalex.org/W3123267698","https://openalex.org/W3123425418","https://openalex.org/W3123476085","https://openalex.org/W3123647737","https://openalex.org/W4230964176","https://openalex.org/W4231546411","https://openalex.org/W4255461888","https://openalex.org/W4299870202","https://openalex.org/W6602639892","https://openalex.org/W6663759148"],"related_works":["https://openalex.org/W2189524503","https://openalex.org/W4386424329","https://openalex.org/W3024136710","https://openalex.org/W4377028459","https://openalex.org/W2123629444","https://openalex.org/W70098026","https://openalex.org/W7017981971","https://openalex.org/W2295153040","https://openalex.org/W2619214126","https://openalex.org/W7204803119"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":8},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":10},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":8},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-27T15:51:10.671819","created_date":"2021-02-01T00:00:00"}