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Volatility forecasting across tanker freight rates: The role of oil price shocks
Konstantinos Gavriilidis,
Dimos S. Kambouroudis,
Katerina Tsakou 
,
Dimitris A. Tsouknidis
,
Dimitris A. Tsouknidis
Transportation Research Part E: Logistics and Transportation Review, Volume: 118, Pages: 376 - 391
Swansea University Author:
Katerina Tsakou
DOI (Published version): 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...
| Published in: | Transportation Research Part E: Logistics and Transportation Review |
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| ISSN: | 13665545 |
| Published: |
2018
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa44403 |
| 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 re-veal that the inclusion of aggregate oil demand and oil-specific (precautionary) demand shocks improves significantly the accuracy of the volatility forecasts drawn. |
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| Keywords: |
Volatility forecasts; Tanker freight rates; Oil price shocks; GARCH-X models |
| College: |
Faculty of Humanities and Social Sciences |
| Start Page: |
376 |
| End Page: |
391 |