Integration And Causality In International Freight Markets--Modeling With Error Correction And Directed Acyclic Graphs
AbstractUsing Directed Acyclic Graphs (DAG's) and Error Correction Models we study the dynamics of the notoriously volatile international freight prices that comprise the Baltic Panamax Index, the index on which freight futures trading is based. The DAG's are used to make definitive statements about the contemporaneous correlations between prices and allow us to address the construction of the data-determined orthoganization on contemporaneous innovation covariance, critical in providing sound inference in innovation accounting techniques. Our results provide a rich source of information on price discovery over various time horizons and suggest that the index may not be appropriately comprised and weighted.
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Bibliographic InfoPaper provided by University of Maryland, Department of Agricultural and Resource Economics in its series Working Papers with number 28558.
Date of creation: 2002
Date of revision:
Other versions of this item:
- Michael S. Haigh & Nikos K. Nomikos & David A. Bessler, 2004. "Integration and Causality in International Freight Markets: Modeling with Error Correction and Directed Acyclic Graphs," Southern Economic Journal, Southern Economic Association, vol. 71(1), pages 145-162, July.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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