Highlights Dynamic volatility spillovers are examined across shipping freight markets. Dynamic conditional correlations are modeled through the DCC-GARCH model. Diebold and Yilmaz (2012, 2009) approach adopted disaggregates volatility spillovers. Spillovers across freight markets are pronounced and time-varying.
Abstract 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.
Dynamic volatility spillovers across shipping freight markets
2016-04-03
22 pages
Article (Journal)
Electronic Resource
English
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