A co-integration approach to forecasting freight rates in the dry bulk shipping sector
Albert Willem Veenstra and
Philip Hans Franses
Transportation Research Part A: Policy and Practice, 1997, vol. 31, issue 6, 447-458
In this paper, a vector autoregressive model is developed for a sample of ocean dry bulk freight rates. Although the series of freight rates are themselves found to be non-stationary, thus precluding the use of many modelling methodologies, evidence provided by cointegration tests points to the existence of stable long-term relationships between the series. An assessment of the forecasts derived from the model suggests that the specification of these long-term relationships does not improve the accuracy of short- or long-term forecasts. These results are interpreted as a corroboration of the efficient market hypothesis.
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