Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/13436
Title: Volatility forecasting across tanker freight rates: the role of oil price shocks
Authors: Gavriilidis, Konstantinos 
Kambouroudis, Dimos S. 
Tsakou, Katerina 
Tsouknidis, Dimitris 
Keywords: Volatility forecasts;Tanker freight rates;Oil price shocks;GARCH-X models
Category: Economics and Business
Field: Social Sciences
Issue Date: Oct-2018
Publisher: Elsevier Ltd
Source: Transportation Research Part E: Logistics and Transportation Review, 2018, Volume 118, Pages 376-391
Journal: Transportation Research Part E: Logistics and Transportation Review 
Abstract: This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian's (2009) oil price shocks of different origin enter GARCH-X models which, among other stylized facts of the tanker freight rates examined, take into account the presence of asymmetric and long-memory effects. The results reveal that the inclusion of aggregate oil demand and oil-specific (precautionary) demand shocks improves significantly the accuracy of the volatility forecasts drawn.
URI: http://ktisis.cut.ac.cy/handle/10488/13436
ISSN: 13665545
DOI: 10.1016/j.tre.2018.08.012
Rights: © 2018 Elsevier Ltd
Type: Article
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