An application of dynamic factor model to dry Bulk Market - focusing on the analysis of synchronicity and idiosyncrasy in the sub-markets with different ship - size
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References listed on IDEAS
- Shun Chen & Hilde Meersman & Eddy van de Voorde, 2010. "Dynamic interrelationships in returns and volatilities between Capesize and Panamax markets," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 12(1), pages 65-90, March.
- James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
- M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
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More about this item
KeywordsDynamic Factor Model; Synchronicity and Idiosyncrasy; Structural Change;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- F0 - International Economics - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-15 (All new papers)
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