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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
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.
ISSN: 13665545
Rights: © 2016 Elsevier Ltd.
Type: Article
Appears in Collections:Άρθρα/Articles

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