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Explaining price differences between physical and derivative freight contracts
16 references·1 citing·45 second hop
Explaining price differences between physical and derivative freight contracts (2018)Explaining price differences between phys…Trading volume and volatility in the shipping forward freight market (2012)Trading volume and volatility…Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence (2009)Stock Returns and Expected Bu…Shipping Derivatives and Risk Management (2009)Shipping Derivatives and Risk…Shipping freight derivatives: a survey of recent evidence (2006)Shipping freight derivatives:…Forecasting 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…Market interactions in returns and volatilities between spot and forward shipping freight markets (2003)Market interactions in return…Firm Size and Cyclical Variations in Stock Returns (2000)Firm Size and Cyclical Variat…The forward pricing function of the shipping freight futures market (1999)The forward pricing function …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…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…The Supply of Storage (1976)The Supply of StorageQuantile hedge ratio for forward freight market (2020)Quantile hedge ratio for forw…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Dynamics of time-varying volatility in the dry bulk and tanker freight markets (2012)A survey of shipping finance research: Setting the future research agenda (2018)Volatility forecasting across tanker freight rates: The role of oil price shocks (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Cross-Section of Expected Stock Returns (1992)Optimal Lending Contracts and Firm Dynamics (2004)Instability of return prediction models (2006)Time-varying short-horizon predictability☆ (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Price discovery and investor structure in stock index futures (2010)A Theory of the Term Structure of Interest Rates (1985)Evaluating Natural Resource Investments (1985)Oil Price Uncertainty (2010)What do we learn from the price of crude oil futures? 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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 2000Firm Size and Cyclical Variations in Stock Returns656 cited
  • 1976The Supply of Storage533 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets408 cited
  • 2009Shipping Derivatives and Risk Management172 cited
  • 2006Forecasting spot and forward prices in the international freight market164 cited
  • 2003Market interactions in returns and volatilities between spot and forward shipping freight markets161 cited
  • 2009Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence152 cited
  • 2006Shipping freight derivatives: a survey of recent evidence102 cited
  • 2003Price Discovery, Causality and Forecasting in the Freight Futures Market101 cited
  • 1999The forward pricing function of the shipping freight futures market89 cited
  • 2003Over-the-counter forward contracts and spot price volatility in shipping84 cited
  • 1997Valuation of VLCCs under income uncertainty

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79 cited
  • 2012Trading volume and volatility in the shipping forward freight market72 cited
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    • 2020Quantile hedge ratio for forward freight market17 cited