Forecasting spot and forward prices in the international freight market
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Zeng Tian & Swanson Norman R., 1998.
"Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 2(4), pages 1-21, January.
- Zeng, T. & Swanson, N.R., 1997. "Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets," Papers 9-97-4, Pennsylvania State - Department of Economics.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-144, January.
- Stock, James H & Watson, Mark W, 1996.
"Evidence on Structural Instability in Macroeconomic Time Series Relations,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(1), pages 11-30, January.
- James H. Stock & Mark W. Watson, 1994. "Evidence on Structural Instability in Macroeconomic Time Series Relations," NBER Technical Working Papers 0164, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 1994. "Evidence on structural instability in macroeconomic times series relations," Working Paper Series, Macroeconomic Issues 94-13, Federal Reserve Bank of Chicago.
- Tashman, Leonard J., 2000. "Out-of-sample tests of forecasting accuracy: an analysis and review," International Journal of Forecasting, Elsevier, vol. 16(4), pages 437-450.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Manolis Kavussanos & Nikos Nomikos, 2003. "Price Discovery, Causality and Forecasting in the Freight Futures Market," Review of Derivatives Research, Springer, vol. 6(3), pages 203-230, October.
- Kavussanos, Manolis G. & Visvikis, Ilias D., 2004. "Market interactions in returns and volatilities between spot and forward shipping freight markets," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 2015-2049, August.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Kavussanos, Manolis G. & Visvikis, Ilias D. & Batchelor, Roy A., 2004. "Over-the-counter forward contracts and spot price volatility in shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 40(4), pages 273-296, July.
- Manolis Kavussanos & Ilias Visvikis & David Menachof, 2005. "The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests," Review of Derivatives Research, Springer, vol. 7(3), pages 241-266, October.
- Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Alizadeh, Amir H. & Huang, Chih-Yueh & van Dellen, Stefan, 2015. "A regime switching approach for hedging tanker shipping freight rates," Energy Economics, Elsevier, vol. 49(C), pages 44-59.
- Alizadeh, Amir H., 2013. "Trading volume and volatility in the shipping forward freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 49(1), pages 250-265.
- Fotis Papailias & Dimitrios D. Thomakos & Jiadong Liu, 2017.
"The Baltic Dry Index: cyclicalities, forecasting and hedging strategies,"
Springer, vol. 52(1), pages 255-282, February.
- Fotis Papailias & Dimitrios D. Thomakos, 2013. "The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies," Working Paper series 65_13, Rimini Centre for Economic Analysis.
- repec:pal:marecl:v:19:y:2017:i:3:d:10.1057_mel.2016.1 is not listed on IDEAS
- repec:pal:marecl:v:19:y:2017:i:1:d:10.1057_s41278-016-0051-7 is not listed on IDEAS
- repec:pal:marecl:v:19:y:2017:i:1:d:10.1057_s41278-016-0050-8 is not listed on IDEAS
- repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1146-9 is not listed on IDEAS
- Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
- Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
- Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018. "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers 2018-27, Swansea University, School of Management.
- N.D. Geomelos & E. Xideas, 2014. "Forecasting spot prices in bulk shipping using multivariate and univariate models," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-37, December.
- repec:pal:marecl:v:19:y:2017:i:2:d:10.1057_s41278-016-0052-6 is not listed on IDEAS
- Goulas, Lambros & Skiadopoulos, George, 2012. "Are freight futures markets efficient? Evidence from IMAREX," International Journal of Forecasting, Elsevier, vol. 28(3), pages 644-659.
- Sun, Xiaolei & Tang, Ling & Yang, Yuying & Wu, Dengsheng & Li, Jianping, 2014. "Identifying the dynamic relationship between tanker freight rates and oil prices: In the perspective of multiscale relevance," Economic Modelling, Elsevier, vol. 42(C), pages 287-295.
- Yang, Linghubo & Zhang, Dongxiang, 2013. "Can futures price be a powerful predictor? Frequency domain analysis on Chinese commodity market," Economic Modelling, Elsevier, vol. 35(C), pages 264-271.
- repec:gam:jrisks:v:5:y:2017:i:3:p:48-:d:111674 is not listed on IDEAS
- Evangelia Kasimati & Nikolaos Veraros, 2017. "Is there accuracy of forward freight agreements in forecasting future freight rates? An empirical investigation," Working Papers 230, Bank of Greece.
- Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis, 2014. "Liquidity Risk Premia in the International Shipping Derivatives Market," ICMA Centre Discussion Papers in Finance icma-dp2014-15, Henley Business School, Reading University.
- Alizadeh, Amir H. & Kappou, Konstantina & Tsouknidis, Dimitris & Visvikis, Ilias, 2015. "Liquidity effects and FFA returns in the international shipping derivatives market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 76(C), pages 58-75.
- Alizadeh, Amir H. & Talley, Wayne K., 2011. "Vessel and voyage determinants of tanker freight rates and contract times," Transport Policy, Elsevier, vol. 18(5), pages 665-675, September.
- Amir Alizadeh & Wayne Talley, 2011. "Microeconomic determinants of dry bulk shipping freight rates and contract times," Transportation, Springer, vol. 38(3), pages 561-579, May.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:23:y:2007:i:1:p:101-114. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ijforecast .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.