Καβουσανός, Εμμανουήλ
Tanker market
Dry bulk market
Container market
Freight market
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| Συλλογές | |
| Τίτλος |
Volatility modelling in shipping freight markets |
| Δημιουργός |
Βολίκα, Κασσιανή |
| Συντελεστής |
Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής Καβουσανός, Εμμανουήλ |
| Τύπος |
Text |
| Φυσική περιγραφή |
76p.: fig.; tables |
| Γλώσσα |
en |
| Αναγνωριστικό |
http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=5266 |
| Περίληψη |
In the present dissertation, volatility comparison took place among freight rates of major routes of Container market and among different ship categories such as dry bulk, tanker and container ships. The final sample consists of weekly prices of several freight rate indices that cover the period from 2003-2016. Volatility was measured by the conditional coefficient of variation (CCV) which was calculated by dividing conditional standard deviation over absolute actual returns. Conditional standard deviation, in a time-varying framework, was extracted with the use of ARMA-GARCH (and others related) models. Applying SIC criterion, the best model for both conditional mean and conditional variance was selected in order to conclude to an adequate model that could accurately represent conditional standard deviation. |
| Λέξη κλειδί |
Shipping market Tanker market Dry bulk market Container market Freight market |
| Διαθέσιμο από |
2017-02-13 14:49:17 |
| Ημερομηνία έκδοσης |
08/25/2016 |
| Ημερομηνία κατάθεσης |
2017-02-13 14:49:17 |
| Δικαιώματα χρήσης |
Free access |
| Άδεια χρήσης |
https://creativecommons.org/licenses/by/4.0/ |