References
- The sample variance is given by: Var (X)= where Xt = V1, V e t or t.
- KAVUSSANOS , M. 1998 . Freight risks in tanker sector . Lloyd's Shipping Economist , June : 6 – 9 .
- CAMPBELL , J. Y. 1991 . A variance decomposition for stock returns . Economic Journal , 110 : 157 – 179 .
- CAMPBELL , J. Y. and SHILLER , R. J. 1987 . Cointegration and tests of present value models . Journal of Political Economy , 95 : 1062 – 1088 .
- CAMPBELL , J. Y. and SHILLER , R. J. 1988 . Stock prices, earnings and expected dividends . Journal of Finance , 43 : 661 – 676 .
- CUTHBERTSON , K. 1996 . Quantitative Financial Economics , John Wiley & Sons .
- GRAMMENOS , C. T. 2001 . Shipping Investment & Finance , London : City University Business School .
- POTERBA , J. N. and SUMMERS , L. H. 1986 . The persistence of volatility and stock market fluctuations . American Economic Review , 76 : 1142 – 1152 .
- SHILLER , R. J. 1981 . Do stock prices move too much to be justified by subsequent change in dividends? . American Economic Review , 71 : 421 – 436 .
- SHILLER , R. J. 1989 . Market Volatility , Cambridge, MA : The MIT Press . and London, UK