Measuring level of risk exposure in tanker shipping freight markets

Abouarghoub, Wessam ORCID: https://orcid.org/0000-0002-1647-1291 and Mariscal, Iris 2011. Measuring level of risk exposure in tanker shipping freight markets. International Journal of Business and Social Research 1 (1) , pp. 20-44.

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Abstract

This is an attempt to study the volatility structure of the tanker freight market and its exposure to market shocks. Therefore, we introduce a two state regime to investigate the possibility of two different volatility structures in shipping tanker freight markets. Empirical evidence is found that in general terms, shipping tanker freight returns, shift between two regimes, a high volatility regime and a low volatility regime and that market shocks in general increase the volatility of freight returns and has a lasting effect. In regards to measuring freight risk, it seams that semi-parametric approaches are appropriate methods for measuring level of risk exposure for shipping freight markets.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HD Industries. Land use. Labor
Uncontrolled Keywords:	Value at Risk; GARCH; semi-parametric; Markov switching and freight volatility.
Publisher:	Centre for Promoting Ideas
ISSN:	2164-2540
Date of First Compliant Deposit:	30 March 2016
Last Modified:	23 May 2023 21:10
URI:	https://orca.cardiff.ac.uk/id/eprint/49620

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