Dynamics of time-varying volatility in the dry bulk and tanker freight markets

Applied Financial Economics

Volumn 22, Issue 16, 2012, Pages 1367-1384

  Drobetz, Wolfgang ^a   Richter, Tim ^b   Wambach, Martin ^a  

^a UNIVERSITY OF HAMBURG   (Germany)

^b NORDCAPITAL Portfolio Management GmbH   (Germany)

Author keywords

freight rates; GARCH models; volatility clustering

Indexed keywords

ECONOMIC IMPACT; FREIGHT TRANSPORT; MACROECONOMICS; MARKET CONDITIONS; NUMERICAL MODEL; REGRESSION ANALYSIS; RISK ASSESSMENT; VARIANCE ANALYSIS;

EID: 84859634462     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603107.2012.657349     Document Type: Article

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