Value-at-risk analysis of the asymmetric long-memory volatility process of dry bulk freight rates
Chao-Chi Chang, Heng Chih Chou and Chun Chou Wu
| Year of publication: |
2014
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|---|---|
| Authors: | Chang, Chao-chi ; Chou, Heng-chih ; Wu, Chun-chou |
| Published in: |
Maritime economics & logistics : a quarterly scientific journal committed to the advancement of maritime economics as a distinct and well defined branch of both applied economics and international business. - Basingstoke : Palgrave Macmillan, ISSN 1479-2931, ZDB-ID 2108520-1. - Vol. 16.2014, 3, p. 298-320
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| Subject: | dry bulk freight rates | value-at-risk (VaR) | long memory | fractional integrated volatility models | asymmetric volatility | Volatilität | Volatility | Frachtrate | Freight rate | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Massengutschifffahrt | Dry bulk shipping | Schätzung | Estimation | Welt | World | Theorie | Theory |
| 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/10010414973