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Stochastic dynamical modelling of spot freight rates
16 references·0 citing·40 second hop
Stochastic dynamical modelling of spot freight rates (2014)Stochastic dynamical modelling of spot fr…Shipping Derivatives and Risk Management (2009)Shipping Derivatives and Risk…Value based trading of real assets in shipping under stochastic freight rates (2008)Value based trading of real a…STochastic Modeling of Electricity and Related Markets (2008)STochastic Modeling of Electr…An analysis of freight rate volatility in dry bulk shipping markets (2008)An analysis of freight rate v…Market switching in shipping — A real option model applied to the valuation of combination carriers (2007)Market switching in shipping …Exact Simulation of IG-OU Processes (2007)Exact Simulation of IG-OU Pro…Pricing freight rate options (2006)Pricing freight rate optionsThe non-linear dynamics of spot freight rates in tanker markets (2005)The non-linear dynamics of sp…Time Varying Risks Among Segments of the Tanker Freight Markets (2003)Time Varying Risks Among Segm…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Valuation of a European futures option in the BIFFEX market (1998)Valuation of a European futur…Valuation of VLCCs under income uncertainty (1997)Valuation of VLCCs under inco…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…PRICE RISK MODELLING OF DIFFERENT SIZE VESSELS IN THE TANKER INDUSTRY USING AUTOREGRESSIVE CONDITIONAL HETERSKEDASTIC (ARCH) MODELS (1996)PRICE RISK MODELLING OF DIFFE…An Optimal Policy for Lay-Up Decisions (1968)An Optimal Policy for Lay-Up …Generalized autoregressive conditional heteroskedasticity (1986)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The dynamics between freight volatility and fleet size growth in dry bulk shipping markets (2011)Volatility forecasting across tanker freight rates: The role of oil price shocks (2018)Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cost of carry, causality and arbitrage between oil futures and tanker freight markets (2004)Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets? (2019)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Forecasting container freight rates using the Prophet forecasting method (2023)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)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)Investment Under Uncertainty. (1994)Fleet replacement decisions under demand and fuel price uncertainties (2016)Investment into container shipping capacity: A real options approach in oligopolistic competition (2016)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Stochastic Integration and Differential Equations (2005)Shipping market models and the specification of freight rate processes (2003)Capital Structure Decisions of Globally-Listed Shipping Companies (2012)Real option analysis for environmental compliance: LNG and emission control areas (2014)A survey of shipping finance research: Setting the future research agenda (2018)Heavy-tails and regime-switching in electricity prices (2008)A Critical Empirical Study of Three Electricity Spot Price Models (2011)Estimation methods for expected shortfall (2013)
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References

  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2008STochastic Modeling of Electricity and Related Markets307 cited
  • 2009Shipping Derivatives and Risk Management172 cited
  • 2005The non-linear dynamics of spot freight rates in tanker markets131 cited
  • 2008An analysis of freight rate volatility in dry bulk shipping markets80 cited
  • 1997Valuation of VLCCs under income uncertainty79 cited
  • 2007Market switching in shipping — A real option model applied to the valuation of combination carriers77 cited
  • 2003Time Varying Risks Among Segments of the Tanker Freight Markets73 cited
  • 2006Pricing freight rate options69 cited
  • 1968An Optimal Policy for Lay-Up Decisions50 cited
  • 2008Value based trading of real assets in shipping under stochastic freight rates48 cited
  • 2007Exact Simulation of IG-OU Processes34 cited
  • 1998Valuation of a European futures option in the BIFFEX market31 cited

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1996
PRICE RISK MODELLING OF DIFFERENT SIZE VESSELS IN THE TANKER INDUSTRY USING AUTOREGRESSIVE CONDITIONAL HETERSKEDASTIC (ARCH) MODELS
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