کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7427774 | 1482977 | 2018 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multivariate modeling and analysis of regional ocean freight rates
ترجمه فارسی عنوان
مدل سازی چند متغیره و تجزیه و تحلیل نرخ حمل و نقل دریایی منطقه ای
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کلمات کلیدی
نرخ حمل و نقل، مدل های خودمراقبتی در زمان مداوم، هم انباشتگی، قرارداد حمل و نقل جلو
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot rate processes and illustrate the term structures of volatility and correlation between the regional prices and the market factor. Our model is an important contribution towards improved modelling and hedging of regional price risk when derivative market liquidity is concentrated in a single global benchmark.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Transportation Research Part E: Logistics and Transportation Review - Volume 113, May 2018, Pages 194-221
Journal: Transportation Research Part E: Logistics and Transportation Review - Volume 113, May 2018, Pages 194-221
نویسندگان
Roar Adland, Fred Espen Benth, Steen Koekebakker,