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An empirical analysis of freight rate and vessel price volatility transmission in global dry bulk shipping market
16 references·0 citing·36 second hopsampled
An empirical analysis of freight rate and vessel price volatility transmission in global dry bulk shipping market (2015)An empirical analysis of freight rate and…Dynamics of time-varying volatility in the dry bulk and tanker freight markets (2012)Dynamics of time-varying vola…An analysis of freight rate volatility in dry bulk shipping markets (2008)An analysis of freight rate v…Multivariate GARCH modeling of sector volatility transmission (2007)Multivariate GARCH modeling o…The empirical evidence of the leverage effect on volatility in international bulk shipping market (2004)The empirical evidence of the…The price-volume relationship in the sale and purchase market for dry bulk vessels (2003)The price-volume relationship…Market interactions in returns and volatilities between spot and forward shipping freight markets (2003)Market interactions in return…Return and volatility behavior of dually-traded stocks: the case of Hong Kong (2002)Return and volatility behavio…Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market (2000)Constant vs. time-varying hed…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…A co-integration approach to forecasting freight rates in the dry bulk shipping sector (1997)A co-integration approach to …Price Risk Modelling of Different Size Vessels in the Tanker Industry Using Autoregressive Conditional Heteroskedasticity (ARCH) Models (1996)Price Risk Modelling of Diffe…COMPARISONS OF VOLATILITY IN THE DRY-CARGO SECTOR: SPOT VERSUS TIME CHARTERS, AND SMALLER VERSUS LARGER VESSELS. (1996)COMPARISONS OF VOLATILITY IN …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Intraday volatility in interest rate and foreign exchange spot and futures markets (1995)Intraday volatility in intere…A short-term adaptive forecasting model for BIFFEX speculation: a Box—Jenkins approach (1992)A short-term adaptive forecas…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Precious metals–exchange rate volatility transmissions and hedging strategies (2010)Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets (2019)Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China (2020)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The dynamics between freight volatility and fleet size growth in dry bulk shipping markets (2011)Volatility forecasting across tanker freight rates: The role of oil price shocks (2018)Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Forecasting spot and forward prices in the international freight market (2006)Price discovery and investor structure in stock index futures (2010)A survey of shipping finance research: Setting the future research agenda (2018)Measuring and Testing the Impact of News on Volatility (1993)Return and Volatility Spillovers Between Large and Small Stocks in the UK (2006)Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia (2007)Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Baltic Dry Index as a Major Economic Policy Indicator: The Relationship with Economic Growth (2015)A Novel Approach to Forecasting the Bulk Freight Market (2017)Corporate social responsibility disclosure: The case of international shipping (2014)Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach (2020)CAUSALITY AND PRICE DISCOVERY: AN APPLICATION OF DIRECTED ACYCLIC GRAPHS (2002)Pricing freight rate options (2006)Trading volume and volatility in the shipping forward freight market (2012)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 2003Market interactions in returns and volatilities between spot and forward shipping freight markets161 cited
  • 2007Multivariate GARCH modeling of sector volatility transmission158 cited
  • 1997A co-integration approach to forecasting freight rates in the dry bulk shipping sector113 cited
  • 2012Dynamics of time-varying volatility in the dry bulk and tanker freight markets82 cited
  • 2008An analysis of freight rate volatility in dry bulk shipping markets80 cited
  • 2000Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market75 cited
  • 2002Return and volatility behavior of dually-traded stocks: the case of Hong Kong69 cited
  • 1996COMPARISONS OF VOLATILITY IN THE DRY-CARGO SECTOR: SPOT VERSUS TIME CHARTERS, AND SMALLER VERSUS LARGER VESSELS.66 cited
  • 1992A short-term adaptive forecasting model for BIFFEX speculation: a Box—Jenkins approach59 cited
  • 1996Price Risk Modelling of Different Size Vessels in the Tanker Industry Using Autoregressive Conditional Heteroskedasticity (ARCH) Models56 cited
  • 2004The empirical evidence of the leverage effect on volatility in international bulk shipping market

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53 cited
  • 1995Intraday volatility in interest rate and foreign exchange spot and futures markets49 cited
  • 2003The price-volume relationship in the sale and purchase market for dry bulk vessels49 cited
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