Modelling forward freight rate dynamics—empirical evidence from time charter rates

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• Ibid. 1
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• Ibid. p. 56
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• Alternatively the TC-rates themselves can be used as input, and then the relevant relationship is given in (1). We used the approximation w(u; r) ≈ 1/(T 2 − T 1) in the calculations. However, we also tested the theoretical exact weighting scheme using r  = 5% for the whole sample. The two smoothed data sets were more or less indistinguishable (the maximum deviation between any two corresponding prices from the two data sets was less than 0.5%)
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• Throughout this section we write matrices in bold upper case letters, vectors in bold lower case letters and elements in plain text. See Koekebakker, S., Ollmar F. 2005 Forward curve dynamics in the Nordic electricity market. Forthcoming in Managerial Finance
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