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Dynamics of time-varying volatility in the dry bulk and tanker freight markets
16 references·14 citing·36 second hop
Dynamics of time-varying volatility in the dry bulk and tanker freight markets (2012)Dynamics of time-varying volatility in th…Shipping Derivatives and Risk Management (2009)Shipping Derivatives and Risk…Forecasting spot and forward prices in the international freight market (2006)Forecasting spot and forward …What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Sources of risk and expected returns in global equity markets (1994)Sources of risk and expected …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…The World Price of Covariance Risk (1991)The World Price of Covariance…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The pricing of commodity contracts (1976)The pricing of commodity cont…Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model (2022)Natural gas volatility predic…Data-driven financial and operational risk management: Empirical evidence from the global tramp shipping industry (2022)Data-driven financial and ope…Volatility forecasting for the shipping market indexes: an AR-SVR-GARCH approach (2021)Volatility forecasting for th…Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments (2020)Freight Rates in Downside and…Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)Commodity and transportation …Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach (2020)Assessing the extreme risk sp…Volatility forecasting across tanker freight rates: The role of oil price shocks (2018)Volatility forecasting across…Corporate cash holdings in the shipping industry (2018)Corporate cash holdings in th…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 …Determinants of Management Earnings Forecasts: The Case of Global Shipping IPOs (2017)Determinants of Management Ea…Systematic risk behavior in cyclical industries: The case of shipping (2016)Systematic risk behavior in c…Cash flow sensitivities during normal and crisis times: Evidence from shipping (2016)Cash flow sensitivities durin…An empirical analysis of freight rate and vessel price volatility transmission in global dry bulk shipping market (2015)An empirical analysis of frei…Corporate social responsibility disclosure: The case of international shipping (2014)Corporate social responsibili…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Risk and Predictability of International Equity Returns (1993)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Real-Time Measurement of Business Conditions (2009)Basel Committee On Banking Supervision (2010)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)
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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
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1994Sources of risk and expected returns in global equity markets331 cited
  • 2009Shipping Derivatives and Risk Management172 cited

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  • 2006Forecasting spot and forward prices in the international freight market164 cited
  • Cited by

    • 2020Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach109 cited
    • 2018Volatility forecasting across tanker freight rates: The role of oil price shocks105 cited
    • 2014Corporate social responsibility disclosure: The case of international shipping94 cited
    • 2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model78 cited
    • 2022Data-driven financial and operational risk management: Empirical evidence from the global tramp shipping industry58 cited
    • 2022Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model49 cited
    • 2016Cash flow sensitivities during normal and crisis times: Evidence from shipping42 cited
    • 2020Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risks from Other Shipping Segments41 cited
    • 2016Systematic risk behavior in cyclical industries: The case of shipping39 cited
    • 2017Herd behavior in the drybulk market: an empirical analysis of the decision to invest in new and retire existing fleet capacity35 cited
    • 2018Corporate cash holdings in the shipping industry28 cited
    • 2021Volatility forecasting for the shipping market indexes: an AR-SVR-GARCH approach28 cited
    • 2015An empirical analysis of freight rate and vessel price volatility transmission in global dry bulk shipping market26 cited
    • 2017Determinants of Management Earnings Forecasts: The Case of Global Shipping IPOs16 cited