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/20.500.14279/14667
DC FieldValueLanguage
dc.contributor.authorTsouknidis, Dimitris-
dc.contributor.otherΤσουκνίδης, Δημήτρης-
dc.date.accessioned2019-07-22T11:06:29Z-
dc.date.available2019-07-22T11:06:29Z-
dc.date.issued2016-07-01-
dc.identifier.citationTransportation Research Part E: Logistics and Transportation Review,2016, vol. 91, pp. 90-111en_US
dc.identifier.issn13665545-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/14667-
dc.description.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.en_US
dc.language.isoenen_US
dc.relation.ispartofTransportation Research Part E: Logistics and Transportation Reviewen_US
dc.rights© Elsevieren_US
dc.subjectDynamic volatility spilloversen_US
dc.subjectShipping freight marketsen_US
dc.subjectVAR modelsen_US
dc.subjectfreight transporten_US
dc.subjectmultivariate analysisen_US
dc.subjectnumerical modelen_US
dc.subjectspillover effecten_US
dc.titleDynamic volatility spillovers across shipping freight marketsen_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.tre.2016.04.001en_US
dc.identifier.scopus2-s2.0-84963553842-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/84963553842-
dc.relation.volume91en_US
cut.common.academicyear2015-2016en_US
dc.identifier.spage90en_US
dc.identifier.epage111en_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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