Ship Finance: Hedging Ship Price Risk Using Freight Derivatives

Amir H. Alizadeh · Nikos K. Nomikos

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Risk Management in Financial Firms Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

This chapter contains sections titled: Introduction Formation of Ship Prices: The Link between Ship Prices and Forward Rates Data and Methodology Long-Term and Short-Term Correlation Cointegration and Causality Minimum Variance Hedge Ratio Estimation Results Summary Notes References

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1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1994Investment under Uncertainty 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1999Numerical distribution functions of likelihood ratio tests for cointegration

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