کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1022958 | 1482999 | 2016 | 22 صفحه PDF | دانلود رایگان |
• Dynamic volatility spillovers are examined across shipping freight markets.
• Dynamic conditional correlations are modeled through the DCC-GARCH model.
• Diebold and Yilmaz, 2012 and Diebold and Yilmaz, 2009 approach adopted disaggregates volatility spillovers.
• Spillovers across freight markets are pronounced and time-varying.
This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold and Yilmaz (2012, 2009). This methodology is invariant to ordering the variables when estimating a VAR model and allows for the disaggregation of volatility spillovers in total, directional, net and net pairwise. Results reveal the existence of large time-varying volatility spillovers across shipping freight markets, which are more intense during and after the global financial crisis.
Journal: Transportation Research Part E: Logistics and Transportation Review - Volume 91, July 2016, Pages 90–111