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https://hdl.handle.net/20.500.14279/13272| Title: | Hedging freight in futures markets | Authors: | Florou, Aikaterini | Keywords: | Risk Management;Derivatives;Shipping;Options;Freight;Hedging effectiveness;Optimal Hedge ratio | Advisor: | Kalotychou, Elena | Issue Date: | Dec-2019 | Department: | Department of Commerce, Finance and Shipping | Faculty: | Faculty of Management and Economics | Abstract: | This thesis purpose is to analyze the freight hedging effectiveness in futures markets. We estimate the Hedge Ratio by using two different approaches. The first strategy is the naïve constant hedge ratio with the Least Squared regression analysis and the second strategy was the GARCH model, in which we estimate a time-varying hedge ratio | URI: | https://hdl.handle.net/20.500.14279/13272 | Rights: | Απαγορεύεται η δημοσίευση ή αναπαραγωγή, ηλεκτρονική ή άλλη χωρίς τη γραπτή συγκατάθεση του δημιουργού και κάτοχου των πνευματικών δικαιωμάτων. | Type: | MSc Thesis | Affiliation: | Cyprus University of Technology |
| Appears in Collections: | Μεταπτυχιακές Εργασίες/ Master's thesis |
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| ΚΑΤΕΡΙΝΑ ΦΛΩΡΟΥ_Abstract.pdf | Abstract | 268.95 kB | Adobe PDF | View/Open |
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