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MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH
16 references·7 citing·28 second hop
MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH (2008)MEASURING THE MARKET RISK OF FREIGHT RATE…Elements of Financial Risk Management (2012)Elements of Financial Risk Ma…Modeling and forecasting petroleum futures volatility (2006)Modeling and forecasting petr…Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…Value‐at‐risk for long and short trading positions (2003)Value‐at‐risk for long and sh…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsTesting the equality of prediction mean squared errors (1997)Testing the equality of predi…VAR: Seductive but Dangerous (1995)VAR: Seductive but DangerousTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyA long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Volatility forecasting for the shipping market indexes: an AR-SVR-GARCH approach (2021)Volatility forecasting for th…Time-varying copula models in the shipping derivatives market (2016)Time-varying copula models in…Trading volume and volatility in the shipping forward freight market (2012)Trading volume and volatility…Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets (2011)Market risk model selection a…Dynamics of the Term Structure and Volatility of Shipping Freight Rates (2011)Dynamics of the Term Structur…Are Freight Futures Markets Efficient? Evidence from IMAREX (2011)Are Freight Futures Markets E…Pricing and hedging in the freight futures market (2010)Pricing and hedging in the fr…Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)ARCH modeling in finance (1992)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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Econometric Analysis of Cross Section and Panel Data (2001)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Conditional value-at-risk for general loss distributions (2002)Theory and Applications of Robust Optimization (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
  • 2006Modeling and forecasting petroleum futures volatility479 cited
  • 2012Elements of Financial Risk Management436 cited
  • 2003Value‐at‐risk for long and short trading positions373 cited

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  • 1995VAR: Seductive but Dangerous362 cited
  • Cited by

    • 2012Trading volume and volatility in the shipping forward freight market72 cited
    • 2011Dynamics of the Term Structure and Volatility of Shipping Freight Rates63 cited
    • 2010Pricing and hedging in the freight futures market41 cited
    • 2011Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets35 cited
    • 2011Are Freight Futures Markets Efficient? Evidence from IMAREX31 cited
    • 2016Time-varying copula models in the shipping derivatives market29 cited
    • 2021Volatility forecasting for the shipping market indexes: an AR-SVR-GARCH approach28 cited