Dynamic volatility spillovers across shipping freight markets

Dimitris Tsouknidis

Transportation Research Part E: Logistics and Transportation Review, 2016, vol. 91, issue C, 90-111

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.

Keywords: Dynamic volatility spillovers; VAR models; Shipping freight markets (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 G20 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:transe:v:91:y:2016:i:c:p:90-111

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DOI: 10.1016/j.tre.2016.04.001

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