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Time Varying Risks Among Segments of the Tanker Freight Markets
16 references·10 citing·28 second hop
Time Varying Risks Among Segments of the Tanker Freight Markets (2003)Time Varying Risks Among Segments of the …Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…ARCH modeling in finance (1992)ARCH modeling in financeOptimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Econometric Models and Economic Forecasts (1990)Econometric Models and Econom…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Rational Expectations and the Theory of Price Movements (1961)Rational Expectations and the…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Volatility forecasting for the shipping market indexes: an AR-SVR-GARCH approach (2021)Volatility forecasting for th…Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets? (2019)Does the Baltic Dry Index dri…Herd behavior in the drybulk market: an empirical analysis of the decision to invest in new and retire existing fleet capacity (2017)Herd behavior in the drybulk …The determinants of credit spreads changes in global shipping bonds (2014)The determinants of credit sp…Stochastic dynamical modelling of spot freight rates (2014)Stochastic dynamical modellin…An investigation of forecast horizon and observation fit’s influence on an econometric rate forecast model in the liner shipping industry (2014)An investigation of forecast …Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets (2011)Market risk model selection a…Chapter 6 Financing Greek Shipping: Modern Instruments, Methods and Markets (2007)Chapter 6 Financing Greek Shi…Price and volume dynamics in second-hand dry bulk and tanker shipping markets (2006)Price and volume dynamics in …Cost of carry, causality and arbitrage between oil futures and tanker freight markets (2004)Cost of carry, causality and …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Analysis of Economic Time-Series-Part I: Prices (1953)Optimal Properties of Exponentially Weighted Forecasts (1960)The Economic Implications of Learning by Doing (1971)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Asset Prices in an Exchange Economy (1978)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1961Rational Expectations and the Theory of Price Movements5,639 cited
  • 1990Econometric Models and Economic Forecasts4,945 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited

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  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • Cited by

    • 2019Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?108 cited
    • 2004Cost of carry, causality and arbitrage between oil futures and tanker freight markets95 cited
    • 2014An investigation of forecast horizon and observation fit’s influence on an econometric rate forecast model in the liner shipping industry46 cited
    • 2014The determinants of credit spreads changes in global shipping bonds41 cited
    • 2006Price and volume dynamics in second-hand dry bulk and tanker shipping markets40 cited
    • 2011Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets35 cited
    • 2017Herd behavior in the drybulk market: an empirical analysis of the decision to invest in new and retire existing fleet capacity35 cited
    • 2021Volatility forecasting for the shipping market indexes: an AR-SVR-GARCH approach28 cited
    • 2014Stochastic dynamical modelling of spot freight rates28 cited
    • 2007Chapter 6 Financing Greek Shipping: Modern Instruments, Methods and Markets22 cited