|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|
Kambouroudis, Dimos S
Tsouknidis, Dimitris A
tanker freight rates
oil price shocks
|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.|
|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/|
|volatility-forecasting-tanker.pdf||Fulltext - Accepted Version||321.52 kB||Adobe PDF||View/Open|
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