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A regime switching approach for hedging tanker shipping freight rates

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Cited by:

  1. Bai, Xiwen & Lam, Jasmine Siu Lee, 2021. "Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 149(C).
  2. Alexandridis, George & Kavussanos, Manolis G. & Kim, Chi Y. & Tsouknidis, Dimitris A. & Visvikis, Ilias D., 2018. "A survey of shipping finance research: Setting the future research agenda," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 115(C), pages 164-212.
  3. Sun, Xiaolei & Liu, Chang & Wang, Jun & Li, Jianping, 2020. "Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
  4. Regli, Frederik & Adland, Roar, 2019. "Crude oil contango arbitrage and the floating storage decision," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 122(C), pages 100-118.
  5. Bai, Xiwen, 2021. "Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach," Energy, Elsevier, vol. 235(C).
  6. Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
  7. Gong, Yuting & Li, Kevin X. & Chen, Shu-Ling & Shi, Wenming, 2020. "Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 136(C).
  8. Ullah, Aziz & Biao, He & Sarwar, Suleman & Wu, Zhongshu, 2025. "Transmission of oil price risk to airline stock returns: Evidence from China and the United States," Research in Transportation Economics, Elsevier, vol. 110(C).
  9. Panos K. Pouliasis & Christos Bentsos, 2024. "Oil price uncertainty and the relation to tanker shipping," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2472-2494, April.
  10. Philip, Dennis & Shi, Yukun, 2016. "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 1-15.
  11. Liu, Yue & Sun, Huaping & Zhang, Jijian & Taghizadeh-Hesary, Farhad, 2020. "Detection of volatility regime-switching for crude oil price modeling and forecasting," Resources Policy, Elsevier, vol. 69(C).
  12. Adland, Roar & Alizadeh, Amir H., 2018. "Explaining price differences between physical and derivative freight contracts," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 118(C), pages 20-33.
  13. Shi, Wenming & Gong, Yuting & Yin, Jingbo & Nguyen, Son & Liu, Qian, 2022. "Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model," Energy, Elsevier, vol. 254(PB).
  14. Pouliasis, Panos K. & Papapostolou, Nikos C. & Kyriakou, Ioannis & Visvikis, Ilias D., 2018. "Shipping equity risk behavior and portfolio management," Transportation Research Part A: Policy and Practice, Elsevier, vol. 116(C), pages 178-200.
  15. Regli, Frederik & Nomikos, Nikos K., 2019. "The eye in the sky – Freight rate effects of tanker supply," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 125(C), pages 402-424.
  16. Sun, Xiaolin & Haralambides, Hercules & Liu, Hailong, 2019. "Dynamic spillover effects among derivative markets in tanker shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 122(C), pages 384-409.
  17. Gu, Yimiao & Chen, Zhenxi & Lien, Donald & Luo, Meifeng, 2020. "Quantile hedge ratio for forward freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 138(C).
  18. Paula Pereda & Andrea Lucchesi & Thais Diniz & Rayan Wolf, 2023. "Carbon Tax in the Shipping Sector: Assessing Economic and Environmental Impacts," Working Papers, Department of Economics 2023_04, University of São Paulo (FEA-USP), revised 17 Jun 2024.
  19. Padhan, Hemachandra & Kocoglu, Mustafa, 2025. "Analysing a frequency and quantile connectedness spillover dynamics nexus: Metals, grains, and energy markets under economic signals," Energy Economics, Elsevier, vol. 147(C).
  20. Marianna Oliskevych & Iryna Lukianenko, 2020. "European unemployment nonlinear dynamics over the business cycles: Markov switching approach," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 22(4), pages 375-401.
  21. Bai, Xiwen & Cheng, Liangqi & Iris, Çağatay, 2022. "Data-driven financial and operational risk management: Empirical evidence from the global tramp shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 158(C).
  22. Donald Lien & Hsiang‐Tai Lee & Her‐Jiun Sheu, 2018. "Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1514-1532, December.
  23. Zhang, Yi, 2018. "Investigating dependencies among oil price and tanker market variables by copula-based multivariate models," Energy, Elsevier, vol. 161(C), pages 435-446.
  24. Hsiang‐Tai Lee, 2024. "Riemannian‐geometric regime‐switching covariance hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 1003-1054, June.
  25. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
  26. Alexandridis, George & Sahoo, Satya & Song, Dong-Wook & Visvikis, Ilias, 2018. "Shipping risk management practice revisited: A new portfolio approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 110(C), pages 274-290.
  27. Theodoros Syriopoulos & Efthymios Roumpis & Michael Tsatsaronis, 2023. "Hedging Strategies in Carbon Emission Price Dynamics: Implications for Shipping Markets," Energies, MDPI, vol. 16(17), pages 1-27, September.
  28. Maitra, Debasish & Chandra, Saurabh & Dash, Saumya Ranjan, 2020. "Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 138(C).
  29. Hsiang‐Tai Lee, 2022. "A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 389-412, March.
  30. Chai, Shanglei & Zhou, P., 2018. "The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems," Energy Economics, Elsevier, vol. 76(C), pages 64-75.
  31. Arthur Jin Lin, 2023. "Volatility Contagion from Bulk Shipping and Petrochemical Industries to Oil Futures Market during the Economic Uncertainty," Mathematics, MDPI, vol. 11(17), pages 1-19, August.
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