Stochastic dynamical modelling of spot freight rates
Fred Espen Benth; Steen Koekebakker and Che Mohd Imran Che Taib
| Year of publication: |
2015
|
|---|---|
| Authors: | Benth, Fred Espen ; Koekebakker, Steen ; Taib, Che Mohd Imran Che |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 26.2015, 3, p. 273-297
|
| Subject: | freight market | spot prices | Lévy processes | normal inverse Gaussian distribution | stochastic volatility | stationarity | autoregressive moving average time series | Value-at-Risk | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Theorie | Theory | Frachtrate | Freight rate | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | ARMA-Modell | ARMA model | Risikomaß | Risk measure | Spotmarkt | Spot market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011405425