Dynamic volatility spillovers across shipping freight markets
Transportation Research Part E: Logistics and Transportation Review, ISSN: 1366-5545, Vol: 91, Page: 90-111
2016
- 94Citations
- 34Usage
- 90Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
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Metrics Details
- Citations94
- Citation Indexes94
- 94
- CrossRef21
- Usage34
- Abstract Views33
- Downloads1
- Captures90
- Readers90
- 90
Article Description
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.
Bibliographic Details
http://www.sciencedirect.com/science/article/pii/S1366554515302118; http://dx.doi.org/10.1016/j.tre.2016.04.001; http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=84963553842&origin=inward; https://linkinghub.elsevier.com/retrieve/pii/S1366554515302118; https://dul.usage.elsevier.com/doi/; https://api.elsevier.com/content/article/PII:S1366554515302118?httpAccept=text/plain; https://api.elsevier.com/content/article/PII:S1366554515302118?httpAccept=text/xml; https://commons.wmu.se/lib_articles/378; https://commons.wmu.se/cgi/viewcontent.cgi?article=1377&context=lib_articles; https://dx.doi.org/10.1016/j.tre.2016.04.001
Elsevier BV
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