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http://hdl.handle.net/1893/27697| Appears in Collections: | Accounting and Finance Journal Articles |
| Peer Review Status: | Refereed |
| Title: | Volatility forecasting across tanker freight rates: the role of oil price shocks |
| Author(s): | Gavriilidis, Konstantinos Kambouroudis, Dimos S Tsakou, Katerina Tsouknidis, Dimitris A |
| Contact Email: | konstantinos.gavriilidis@stir.ac.uk |
| Keywords: | volatility forecasts tanker freight rates oil price shocks GARCH-X models |
| Issue Date: | 31-Oct-2018 |
| Date Deposited: | 2-Sep-2018 |
| Citation: | Gavriilidis K, Kambouroudis DS, Tsakou K & Tsouknidis DA (2018) Volatility forecasting across tanker freight rates: the role of oil price shocks. Transportation Research Part E: Logistics and Transportation Review, 118, pp. 376-391. https://doi.org/10.1016/j.tre.2018.08.012 |
| Abstract: | This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian's (2009) oil price shocks of different origin enter GARCH-X models which, among other stylized facts of the tanker freight rates examined, take into account the presence of asymmetric and long-memory effects. The results reveal that the inclusion of aggregate oil demand and oil-specific (precautionary) demand shocks improves significantly the accuracy of the volatility forecasts drawn. |
| DOI Link: | 10.1016/j.tre.2018.08.012 |
| Rights: | This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study. Accepted refereed manuscript of: Gavriilidis K, Kambouroudis DS, Tsakou K & Tsouknidis DA (2018) Volatility forecasting across tanker freight rates: the role of oil price shocks. Transportation Research Part E: Logistics and Transportation Review, 118, pp. 376-391. DOI: 10.1016/j.tre.2018.08.012 © 2018, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Licence URL(s): | http://creativecommons.org/licenses/by-nc-nd/4.0/ |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| volatility-forecasting-tanker.pdf | Fulltext - Accepted Version | 321.52 kB | Adobe PDF | View/Open |
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