Please use this identifier to cite or link to this item:
|Title:||Dynamic volatility spillovers across shipping freight markets||Authors:||Tsouknidis, Dimitris||Keywords:||Dynamic volatility spillovers;VAR models;Shipping freight markets||Category:||Economics and Business||Field:||Social Sciences||Issue Date:||1-Jul-2016||Publisher:||Elsevier Ltd||Source:||Transportation Research Part E: Logistics and Transportation Review, 2016, Volume 91, Pages 90-111||metadata.dc.doi:||http://dx.doi.org/10.1016/j.tre.2016.04.001||Abstract:||This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold and Yilmaz (2012, 2009). This methodology is invariant to ordering the variables when estimating a VAR model and allows for the disaggregation of volatility spillovers in total, directional, net and net pairwise. Results reveal the existence of large time-varying volatility spillovers across shipping freight markets, which are more intense during and after the global financial crisis.||URI:||http://ktisis.cut.ac.cy/handle/10488/9158||ISSN:||13665545||Rights:||© 2016 Elsevier Ltd.||Type:||Article|
|Appears in Collections:||Άρθρα/Articles|
Show full item record
Page view(s) 5055
checked on Dec 17, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.