1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/13436
DC FieldValueLanguage
dc.contributor.authorGavriilidis, Konstantinos-
dc.contributor.authorKambouroudis, Dimos S.-
dc.contributor.authorTsakou, Katerina-
dc.contributor.authorTsouknidis, Dimitris-
dc.date.accessioned2019-04-04T19:13:46Z-
dc.date.available2019-04-04T19:13:46Z-
dc.date.issued2018-10-
dc.identifier.citationTransportation Research Part E: Logistics and Transportation Review, 2018, vol. 118, pp. 376-391en_US
dc.identifier.issn13665545-
dc.description.abstractThis 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.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofTransportation Research Part E: Logistics and Transportation Reviewen_US
dc.rights© Elsevieren_US
dc.subjectVolatility forecastsen_US
dc.subjectTanker freight ratesen_US
dc.subjectOil price shocksen_US
dc.subjectGARCH-X modelsen_US
dc.titleVolatility forecasting across tanker freight rates: the role of oil price shocksen_US
dc.typeArticleen_US
dc.collaborationUniversity of Stirlingen_US
dc.collaborationSwansea Universityen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.countryUnited Kingdomen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.tre.2018.08.012en_US
dc.identifier.scopus2-s2.0-85052908589-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85052908589-
dc.relation.volume118en_US
cut.common.academicyear2018-2019en_US
dc.identifier.spage376en_US
dc.identifier.epage391en_US
item.openairetypearticle-
item.cerifentitytypePublications-
item.fulltextNo Fulltext-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.languageiso639-1en-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0003-1866-2590-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.journal.journalissn1366-5545-
crisitem.journal.publisherElsevier-
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