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Dynamic volatility spillovers across shipping freight markets

Listed author(s):
  • Tsouknidis, Dimitris A.

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S1366554515302118
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Article provided by Elsevier in its journal Transportation Research Part E: Logistics and Transportation Review.

Volume (Year): 91 (2016)
Issue (Month): C ()
Pages: 90-111

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Handle: RePEc:eee:transe:v:91:y:2016:i:c:p:90-111
DOI: 10.1016/j.tre.2016.04.001
Contact details of provider: Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/600244/description#description

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