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|Title:||Volatility forecasting across tanker freight rates: the role of oil price shocks||Authors:||Gavriilidis, Konstantinos
Kambouroudis, Dimos S.
|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|
|Appears in Collections:||Άρθρα/Articles|
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