Showing 1 - 1 of 1
This study aims to apply value-at-risk (VaR) models to evaluate the risk of dry bulk freight rates when there is an asymmetric long-memory volatility process. The VaR estimations as well as expected shortfalls for both short and long trading positions are conducted. We use the Fractionally...
Persistent link: https://www.econbiz.de/10010886820