Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1022958 | Transportation Research Part E: Logistics and Transportation Review | 2016 | 22 Pages |
•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.