1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
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Πεδίο DCΤιμήΓλώσσα
dc.contributor.authorTheodossiou, Panayiotis-
dc.contributor.authorTsouknidis, Dimitris-
dc.contributor.authorSavva, Christos S.-
dc.date.accessioned2020-11-05T09:15:10Z-
dc.date.available2020-11-05T09:15:10Z-
dc.date.issued2020-06-
dc.identifier.citationJournal of the Royal Statistical Society. Series A: Statistics in Society, 2020, vol. 183, no. 3, pp. 1097-1119en_US
dc.identifier.issn1467985X-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/19325-
dc.description.abstractShipping 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.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofJournal of the Royal Statistical Society. Series A: Statistics in Societyen_US
dc.rights© Wileyen_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectConditional skewnessen_US
dc.subjectDownside and upside uncertaintyen_US
dc.subjectFreight rates pricing equationsen_US
dc.subjectMean and volatility spilloversen_US
dc.subjectSkewed generalized error distributionen_US
dc.subjectSkewness price of risken_US
dc.titleFreight rates in downside and upside markets: pricing of own and spillover risks from other shipping segmentsen_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationUniversity of Piraeusen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.countryGreeceen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1111/rssa.12553en_US
dc.relation.issue3en_US
dc.relation.volume183en_US
cut.common.academicyear2019-2020en_US
dc.identifier.spage1097en_US
dc.identifier.epage1119en_US
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.journal.journalissn1467-985X-
crisitem.journal.publisherWiley-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.orcid0000-0003-1866-2590-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
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