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Συλλογές :

Τίτλος :Volatility modelling in shipping freight rates before and after the economic crisis of 2008
Δημιουργός :Ρένεσης, Θεόδωρος
Συντελεστής :Καβουσανός, Εμμανουήλ (Επιβλέπων καθηγητής)
Χαλαμανδάρης, Γεώργιος (Εξεταστής)
Γεωργούτσος, Δημήτριος (Εξεταστής)
Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής (Degree granting institution)
Τύπος :Text
Φυσική περιγραφή :78 p.
Γλώσσα :en
Αναγνωριστικό :http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=6571
Περίληψη :Uncertainty is the main characteristic of shipping fright market and one of the attempts of measuring this uncertainty is through modeling the volatility. In order to investigate the behavior of freight market thorough time point 2008 a total of 21 time series were analyzed. These series represented the Composite index of the China Containerized Freight Index (CCFI) and its routes, the Baltic Dry index and its components and the container freight index by country. Main analysis was based on the modeling of ARCH models and the resulting conditional standard deviation of each model. From the 21 series only 3 could produce adequate model which in their return showed indices reacted to the economic crisis as result of the supply – demand principal that affected freight rates. Still this sensitivity was not found in country level comparisons where each country index seemed to have reacted with correctional movements towards a predefined course. This course is specified through historical movement and contains an declining or an increasing course. Still, in all of the examined cases the influence of time point 2008 was apparent either by direct influence or acting as force of inertia to the following values.
Λέξη κλειδί :Freight rates
Shipping industry
Financial crisis 2008-2009
Modelling
Fluctuations
Volatility
Ναύλοι
Ναυτιλία
Παγκόσμια χρηματοοικονομική κρίση 2008
Μοντελοποίηση
Διακυμάνσεις
Διαθέσιμο από :2018-11-30 10:15:28
Ημερομηνία έκδοσης :11/27/2018
Ημερομηνία κατάθεσης :2018-11-30 10:15:28
Δικαιώματα χρήσης :Free access
Άδεια χρήσης :

Αρχείο: Renesis_2018.pdf

Τύπος: application/pdf

Renesis_2018_historical_data.zip