Please use this identifier to cite or link to this item: https://ktisis.cut.ac.cy/handle/10488/14667
Title: Dynamic volatility spillovers across shipping freight markets
Authors: Tsouknidis, Dimitris 
Keywords: Dynamic volatility spillovers;Shipping freight markets;VAR models;freight transport;multivariate analysis;numerical model;spillover effect
Category: Economics and Business
Field: Social Sciences
Issue Date: 2016
Source: Transportation Research Part E: Logistics and Transportation Review Volume 91, 1 July 2016, Pages 90-111
Journal: Transportation Research Part E: Logistics and Transportation Review 
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.
DOI: 10.1016/j.tre.2016.04.001
Rights: © 2016 Elsevier Ltd
Type: Article
Appears in Collections:Άρθρα/Articles

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