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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/27697
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dc.contributor.authorGavriilidis, Konstantinosen_UK
dc.contributor.authorKambouroudis, Dimos Sen_UK
dc.contributor.authorTsakou, Katerinaen_UK
dc.contributor.authorTsouknidis, Dimitris Aen_UK
dc.date.accessioned2018-09-04T00:00:24Z-
dc.date.available2018-09-04T00:00:24Z-
dc.date.issued2018-10-31en_UK
dc.identifier.urihttp://hdl.handle.net/1893/27697-
dc.description.abstractThis 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.en_UK
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.relationGavriilidis 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.2018.08.012en_UK
dc.rightsThis 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/en_UK
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/en_UK
dc.subjectvolatility forecastsen_UK
dc.subjecttanker freight ratesen_UK
dc.subjectoil price shocksen_UK
dc.subjectGARCH-X modelsen_UK
dc.titleVolatility forecasting across tanker freight rates: the role of oil price shocksen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2019-09-06en_UK
dc.rights.embargoreason[volatility-forecasting-tanker.pdf] Publisher requires embargo of 12 months after formal publication.en_UK
dc.identifier.doi10.1016/j.tre.2018.08.012en_UK
dc.citation.jtitleTransportation Research Part E: Logistics and Transportation Reviewen_UK
dc.citation.issn1366-5545en_UK
dc.citation.volume118en_UK
dc.citation.spage376en_UK
dc.citation.epage391en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusAM - Accepted Manuscripten_UK
dc.author.emailkonstantinos.gavriilidis@stir.ac.uken_UK
dc.citation.date05/09/2018en_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationSwansea Universityen_UK
dc.contributor.affiliationCyprus University of Technologyen_UK
dc.identifier.isiWOS:000448229000020en_UK
dc.identifier.scopusid2-s2.0-85052908589en_UK
dc.identifier.wtid985365en_UK
dc.contributor.orcid0000-0001-9935-5431en_UK
dc.contributor.orcid0000-0002-8230-0028en_UK
dc.date.accepted2018-08-28en_UK
dcterms.dateAccepted2018-08-28en_UK
dc.date.filedepositdate2018-09-02en_UK
rioxxterms.apcnot requireden_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionAMen_UK
local.rioxx.authorGavriilidis, Konstantinos|0000-0001-9935-5431en_UK
local.rioxx.authorKambouroudis, Dimos S|0000-0002-8230-0028en_UK
local.rioxx.authorTsakou, Katerina|en_UK
local.rioxx.authorTsouknidis, Dimitris A|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2019-09-06en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||2019-09-05en_UK
local.rioxx.licencehttp://creativecommons.org/licenses/by-nc-nd/4.0/|2019-09-06|en_UK
local.rioxx.filenamevolatility-forecasting-tanker.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source1366-5545en_UK
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