Search Results - subject:"Freight volatility"

Measuring the level of risk exposure in tanker shipping freight markets

Abouarghoub, Wessam; Biefang-Frisancho Mariscal, Iris - Department of Accounting, Economics and Finance, … - 2013

This is an attempt to study the volatility structure of the tanker freight market and its exposure to market shocks. Therefore, we introduce a two state regime to investigate the possibility of two different volatility structures in shipping tanker freight markets. Empirical evidence is found...

Persistent link: https://www.econbiz.de/10010739164

A two-state Markov-switching distinctive conditional variance application for tanker freight returns

Abouarghoub, Wessam; Biefang-Frisancho Mariscal, Iris; … - Department of Accounting, Economics and Finance, … - 2013

of the most suitable measure for conditional freight volatility and consequently for the most appropriate freight risk … measure. Furthermore, recent empirical work in maritime studies suggests the possibility of conditional freight volatility … study postulates that the dynamics of freight rates are distinct and conditional on the freight volatility regime-state that …

Persistent link: https://www.econbiz.de/10010900630