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Dynamics of the Term Structure and Volatility of Shipping Freight Rates
16 references·1 citing·32 second hop
Dynamics of the Term Structure and Volatility of Shipping Freight Rates (2011)Dynamics of the Term Structure and Volati…The dynamics between freight volatility and fleet size growth in dry bulk shipping markets (2011)The dynamics between freight …Forecasting Volatility in Financial Markets (2010)Forecasting Volatility in Fin…Shipping Derivatives and Risk Management (2009)Shipping Derivatives and Risk…MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH (2008)MEASURING THE MARKET RISK OF …Investment timing and trading strategies in the sale and purchase market for ships (2006)Investment timing and trading…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…The Expectations Hypothesis of the Term Structure and Risk Premia in Dry Bulk Shipping Freight Markets; An Egarch-M Approach (2002)The Expectations Hypothesis o…Conditional modelling of tanker market risk using route specific freight rates (1998)Conditional modelling of tank…The variation of certain speculative prices (1997)The variation of certain spec…COMPARISONS OF VOLATILITY IN THE DRY-CARGO SECTOR: SPOT VERSUS TIME CHARTERS, AND SMALLER VERSUS LARGER VESSELS. (1996)COMPARISONS OF VOLATILITY IN …An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…Statistical Models for Financial Volatility (1993)Statistical Models for Financ…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A regime switching approach for hedging tanker shipping freight rates (2015)A regime switching approach f…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements (2009)Stochastic Volatility: Origins and Overview (2009)Data-based ranking of realised volatility estimators (2010)Estimation and pricing under long-memory stochastic volatility (2010)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Do Long-Term Interest Rates Overreact to Short-Term Interest Rates? (1984)Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Political risk and stock price volatility: The case of Hong Kong (1996)Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets (2002)The macroeconomic determinants of technology stock price volatility (2002)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Modeling and forecasting petroleum futures volatility (2006)Estimating stock market volatility using asymmetric GARCH models (2008)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Capital Structure Decisions of Globally-Listed Shipping Companies (2012)Real option analysis for environmental compliance: LNG and emission control areas (2014)A survey of shipping finance research: Setting the future research agenda (2018)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1996An evaluation of volatility forecasting techniques479 cited
  • 2009Shipping Derivatives and Risk Management172 cited
  • 1993Statistical Models for Financial Volatility165 cited
  • 2010Forecasting Volatility in Financial Markets151 cited
  • 2006Investment timing and trading strategies in the sale and purchase market for ships123 cited
  • 1996COMPARISONS OF VOLATILITY IN THE DRY-CARGO SECTOR: SPOT VERSUS TIME CHARTERS, AND SMALLER VERSUS LARGER VESSELS.66 cited
  • 2011The dynamics between freight volatility and fleet size growth in dry bulk shipping markets66 cited
  • 2008MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH51 cited
  • 1998Conditional modelling of tanker market risk using route specific freight rates

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32 cited
  • 2002The Expectations Hypothesis of the Term Structure and Risk Premia in Dry Bulk Shipping Freight Markets; An Egarch-M Approach24 cited
  • Cited by

    • 2015A regime switching approach for hedging tanker shipping freight rates63 cited