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Market interactions in returns and volatilities between spot and forward shipping freight markets
16 references·16 citing·24 second hopsampled
Market interactions in returns and volatilities between spot and forward shipping freight markets (2003)Market interactions in returns and volati…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeA Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some recent development in a concept of causality (1988)Some recent development in a …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…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…Macroeconomics and Reality (1980)Macroeconomics and RealityData-driven financial and operational risk management: Empirical evidence from the global tramp shipping industry (2022)Data-driven financial and ope…Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)Commodity and transportation …Artificial neural networks in freight rate forecasting (2019)Artificial neural networks in…Volatility forecasting across tanker freight rates: The role of oil price shocks (2018)Volatility forecasting across…A survey of shipping finance research: Setting the future research agenda (2018)A survey of shipping finance …A Novel Approach to Forecasting the Bulk Freight Market (2017)A Novel Approach to Forecasti…Economic spillovers between related derivatives markets: The case of commodity and freight markets (2014)Economic spillovers between r…Pricing and hedging in the freight futures market (2010)Pricing and hedging in the fr…Price discovery and investor structure in stock index futures (2010)Price discovery and investor …MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH (2008)MEASURING THE MARKET RISK OF …An analysis of freight rate volatility in dry bulk shipping markets (2008)An analysis of freight rate v…Shipping freight derivatives: a survey of recent evidence (2006)Shipping freight derivatives:…Pricing freight rate options (2006)Pricing freight rate optionsForecasting spot and forward prices in the international freight market (2006)Forecasting spot and forward …Price Discovery, Causality and Forecasting in the Freight Futures Market (2003)Price Discovery, Causality an…Over-the-counter forward contracts and spot price volatility in shipping (2003)Over-the-counter forward cont…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A simple panel unit root test in the presence of cross‐section dependence (2007)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 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
  • 1980Macroeconomics and Reality12,826 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988

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Some recent development in a concept of causality
2,982 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • Cited by

    • 2006Forecasting spot and forward prices in the international freight market164 cited
    • 2018A survey of shipping finance research: Setting the future research agenda133 cited
    • 2010Price discovery and investor structure in stock index futures122 cited
    • 2018Volatility forecasting across tanker freight rates: The role of oil price shocks105 cited
    • 2006Shipping freight derivatives: a survey of recent evidence102 cited
    • 2003Price Discovery, Causality and Forecasting in the Freight Futures Market101 cited
    • 2014Economic spillovers between related derivatives markets: The case of commodity and freight markets97 cited
    • 2003Over-the-counter forward contracts and spot price volatility in shipping84 cited
    • 2008An analysis of freight rate volatility in dry bulk shipping markets80 cited
    • 2020Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model78 cited
    • 2006Pricing freight rate options69 cited
    • 2017A Novel Approach to Forecasting the Bulk Freight Market66 cited
    • 2022Data-driven financial and operational risk management: Empirical evidence from the global tramp shipping industry58 cited
    • 2008MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH51 cited
    • 2019Artificial neural networks in freight rate forecasting50 cited
    • 2010Pricing and hedging in the freight futures market41 cited