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https://hdl.handle.net/20.500.14279/19325
Τίτλος: | Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments | Συγγραφείς: | Theodossiou, Panayiotis Tsouknidis, Dimitris Savva, Christos S. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Conditional skewness;Downside and upside uncertainty;Freight rates pricing equations;Mean and volatility spillovers;Skewed generalized error distribution;Skewness price of risk | Ημερομηνία Έκδοσης: | Ιου-2020 | Πηγή: | Journal of the Royal Statistical Society. Series A: Statistics in Society, 2020, vol. 183, no. 3, pp. 1097-1119 | Volume: | 183 | Issue: | 3 | Start page: | 1097 | End page: | 1119 | Περιοδικό: | Journal of the Royal Statistical Society. Series A: Statistics in Society | Περίληψη: | Shipping freight rates are notoriously volatile and shipping investors are perceived to be risk loving. The paper explores the stochastic properties of freight rates in the shipping industry and derives the analytical equations for their moments in downside and upside markets by using a two-piece extension of the generalized error distribution. Pricing equations developed across shipping segments show how conditional risk and conditional skewness are priced along with their risk spillover effects. Results reveal the existence of a positive skewness premium, suggesting that shipping investors are willing to accept lower expected returns for the opportunity to earn high pay-offs in the future. | URI: | https://hdl.handle.net/20.500.14279/19325 | ISSN: | 1467985X | DOI: | 10.1111/rssa.12553 | Rights: | © Wiley Attribution-NonCommercial-NoDerivatives 4.0 International |
Type: | Article | Affiliation: | Cyprus University of Technology University of Piraeus |
Publication Type: | Peer Reviewed |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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