Συλλογές
Τίτλος Volatility modelling in shipping freight rates before and after the economic crisis of 2008
Δημιουργός Ρένεσης, Θεόδωρος
Συντελεστής Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής
Γεωργούτσος, Δημήτριος
Χαλαμανδάρης, Γεώργιος
Καβουσανός, Εμμανουήλ
Τύπος Text
Φυσική περιγραφή 78 p.
Γλώσσα en
Αναγνωριστικό http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=6571
Περίληψη Uncertainty is the main characteristic of shipping fright market and one of the attempts of measuring this uncertainty is through modeling the volatility. In order to investigate the behavior of freight market thorough time point 2008 a total of 21 time series were analyzed. These series represented the Composite index of the China Containerized Freight Index (CCFI) and its routes, the Baltic Dry index and its components and the container freight index by country. Main analysis was based on the modeling of ARCH models and the resulting conditional standard deviation of each model. From the 21 series only 3 could produce adequate model which in their return showed indices reacted to the economic crisis as result of the supply – demand principal that affected freight rates. Still this sensitivity was not found in country level comparisons where each country index seemed to have reacted with correctional movements towards a predefined course. This course is specified through historical movement and contains an declining or an increasing course. Still, in all of the examined cases the influence of time point 2008 was apparent either by direct influence or acting as force of inertia to the following values.
Λέξη κλειδί Διακυμάνσεις
Μοντελοποίηση
Ναυτιλία
Παγκόσμια Χρηματοοικονομική Κρίση 2008
Ναύλοι
Fluctuations
Volatility
Financial crisis 2008-2009
Modelling
Freight rates
Shipping industry
Διαθέσιμο από 2018-11-30 10:15:28
Ημερομηνία έκδοσης 11/27/2018
Ημερομηνία κατάθεσης 2018-11-30 10:15:28
Δικαιώματα χρήσης Free access
Άδεια χρήσης https://creativecommons.org/licenses/by/4.0/