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Dynamic volatility spillovers across shipping freight markets

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  • Tsouknidis, Dimitris A.

Abstract

This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold and Yilmaz (2012, 2009). This methodology is invariant to ordering the variables when estimating a VAR model and allows for the disaggregation of volatility spillovers in total, directional, net and net pairwise. Results reveal the existence of large time-varying volatility spillovers across shipping freight markets, which are more intense during and after the global financial crisis.

Suggested Citation

  • Tsouknidis, Dimitris A., 2016. "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 91(C), pages 90-111.
  • Handle: RePEc:eee:transe:v:91:y:2016:i:c:p:90-111
    DOI: 10.1016/j.tre.2016.04.001
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    References listed on IDEAS

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    Cited by:

    1. Kavussanos, Manolis G. & Tsouknidis, Dimitris A., 2016. "Default risk drivers in shipping bank loans," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 94(C), pages 71-94.
    2. repec:eee:transa:v:110:y:2018:i:c:p:274-290 is not listed on IDEAS
    3. repec:eee:transe:v:104:y:2017:i:c:p:36-51 is not listed on IDEAS
    4. Chen, Feier & Miao, Yuqi & Tian, Kang & Ding, Xiaoxu & Li, Tingyi, 2017. "Multifractal cross-correlations between crude oil and tanker freight rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 344-354.
    5. 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.

    More about this item

    Keywords

    Dynamic volatility spillovers; VAR models; Shipping freight markets;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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