Publication Cover
Maritime Policy & Management
The flagship journal of international shipping and port research
Volume 35, 2008 - Issue 3
2,632
Views
56
CrossRef citations to date
0
Altmetric
Original Articles

An analysis of freight rate volatility in dry bulk shipping markets

, &
Pages 237-251 | Published online: 16 Jun 2008

References

  • Cullinane , K . 1992 . A short-term adoptive forecasting model for BIFFEX speculation: a Box–Jenkins approach . Maritime Policy & Management , l19 ( 2 ) : 91 – 114 .
  • Veenstra , A and Franses , PH . 1997 . A co-integration approach to forecasting freight rates in the dry bulk shipping sector . Transportation Research Part A , 31 ( 6 ) : 447 – 458 .
  • Tvedt , J . 2003 . A new perspective on price dynamics of the dry bulk market . Maritime Policy and Management , 30 ( 3 ) : 221 – 230 .
  • Tvedt , J . 2003 . Shipping market models and the specification of freight rate processes . Maritime Economics and Logistics , 5 : 327 – 346 .
  • Adland , R and Cullinane , K . 2005 . A time-varying risk premium in the term structure of bulk shipping freight rates . Journal of Transport Economics and Policy , 39 ( 2 ) : 191 – 208 .
  • Kavussanos , MG . 1996 . Comparisons of volatility in the dry-cargo ship sector: spot versus time charters, and small versus larger vessels . Journal of Transport Economics and Policy , January : 67 – 82 .
  • Kavussanos , MG . 1997 . The dynamics of time-varying volatilities in different size second-hand ship prices of the dry-cargo sector . Applied Economics , 29 : 433 – 444 .
  • Kavussanos , MG and Nomikos , NK . 2000 . Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market . Transportation Research Part E , 36 : 229 – 248 .
  • Kavussanos , MG and Alizadeh , AH . 2001 . Seasonality patterns in dry bulk shipping spot and time charter freight rates . Transportation Research Part E , 37 : 443 – 467 .
  • Kavussanos , MG and Visvikis , ID . 2004 . Market interactions in returns and volatilities between spot and forward shipping freight markets . Journal of Banking and Finance , 28 : 2015 – 2049 .
  • Kavussanos , MG , Visvikis , ID and Batchelor , RA . 2004 . Over-the-counter forward contracts and spot price volatility in shipping . Transportation Research Part E , 40 : 273 – 296 .
  • Engle , RF . 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 ( 4 ) : 987 – 1008 .
  • Engle , RF , Lillen , DM and Robins , RP . 1987 . Estimating time varying risk premia in the term structure: the Arch-M model . Econometrica , 55 ( 2 ) : 391 – 407 .
  • Kavussanos , MG . 1996 . Price risk modeling of different size vessels in tanker industry using autoregressive conditional heteroskedasticity (ARCH) models . The Logistics and Transportation Review , 32 ( 2 ) : 161 – 176 .
  • Chen , YS and Wang , ST . 2004 . The empirical evidence of the leverage effect on volatility in international bulk shipping market . Maritime Policy & Management , 32 ( 2 ) : 109 – 124 .
  • Bollerslev , T . 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
  • Nelson , D . 1991 . Conditional heteroscedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 370 .
  • Kavussanos , MG and Alizadeh , AH . 2003 . The expectations hypothesis of the term structure and risk premiums in dry bulk shipping freight markets . Journal of Transport Economics and Policy , 36 ( 2 ) : 267 – 304 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.