کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1022958 1482999 2016 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamic volatility spillovers across shipping freight markets
ترجمه فارسی عنوان
سرایت نوسانات پویا در بازارهای حمل و نقل باری
کلمات کلیدی
سرایت نوسانات پویا. مدل VAR؛ بازارهای حمل و نقل باری
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی


• 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Transportation Research Part E: Logistics and Transportation Review - Volume 91, July 2016, Pages 90–111
نویسندگان
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