Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
Philipp Lauenstein, Thomas Walther
| Year of publication: |
2016
|
|---|---|
| Authors: | Lauenstein, Philipp ; Walther, Thomas |
| Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0909, ZDB-ID 2735250-X. - Vol. 2.2016, 3, p. 172-199
|
| Subject: | APARCH | asymmetric volatility | EGARCH | expected shortfall | GARCH models | Markov regime switching | risk management | seasonal adjustment | tanker freight rates | value-at-risk | VAR | volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Frachtrate | Freight rate | Schätzung | Estimation | Theorie | Theory | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis |