Article

A mixed-regime model for dry bulk freight market

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This paper constructs a mixed-regime model for dry bulk freight market. Then it performs maximum likelihood estimation and provides the results. Inter alia, the hypothesis that there is bimodality in the supply curve of shipping freight markets is strongly supported by analyzing the effect of the term structure of time-charter rates on the time-varying volatility. Furthermore, the adjustment speed of 1-year time-charter rate in lowvolatility regime is larger than in high-volatility regime, which means the market players consider the backwardation shock in low uncertainty as more important than in high uncertainty. Especially the Cape-size markets respond positively to the back-wardation shock in low-volatility regime but respond negatively in high-volatility regime. Finally, the estimated time-varying variance using real-time data has a highly statistically significant relation with the next squared error terms.

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Ketersediaan

Informasi Detail

Judul Seri

The Asian Journal of Shipping and Logistics

No. Panggil

ATC LO WOO a

Penerbit

Korea : Elsevier., 2010

Deskripsi Fisik

20 p.

Bahasa

Indonesia

ISBN/ISSN

-

Klasifikasi

LO

Tipe Isi

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Tipe Media

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Tipe Pembawa

online resource

Edisi

Volume 26 Number 2 December 2010 pp. 185-204

Subjek

mixed-regime model
term structure of time-charter rates
timevarying volatility

Info Detail Spesifik

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Pernyataan Tanggungjawab

Byoung-Wook KO

Versi lain/terkait

Lampiran Berkas

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