Article ID Journal Published Year Pages File Type
1022958 Transportation Research Part E: Logistics and Transportation Review 2016 22 Pages PDF
Abstract

•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.

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Social Sciences and Humanities Business, Management and Accounting Business and International Management
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