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https://hdl.handle.net/20.500.14279/13436| Τίτλος: | Volatility forecasting across tanker freight rates: the role of oil price shocks | Συγγραφείς: | Gavriilidis, Konstantinos Kambouroudis, Dimos S. Tsakou, Katerina Tsouknidis, Dimitris |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Volatility forecasts;Tanker freight rates;Oil price shocks;GARCH-X models | Ημερομηνία Έκδοσης: | Οκτ-2018 | Πηγή: | Transportation Research Part E: Logistics and Transportation Review, 2018, vol. 118, pp. 376-391 | Volume: | 118 | Start page: | 376 | End page: | 391 | Περιοδικό: | Transportation Research Part E: Logistics and Transportation Review | Περίληψη: | 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. | ISSN: | 13665545 | DOI: | 10.1016/j.tre.2018.08.012 | Rights: | © Elsevier | Type: | Article | Affiliation: | University of Stirling Swansea University Cyprus University of Technology |
| Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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