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Measuring the Market Risk of Freight Rates: A Forecast Combination Approach

Argyropoulos, Christos, Panopoulou, Ekaterini (2018) Measuring the Market Risk of Freight Rates: A Forecast Combination Approach. Journal of Forecasting, 37 (2). pp. 201-224. ISSN 0277-6693. E-ISSN 1099-131X. (doi:10.1002/for.2485)

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http://dx.doi.org/10.1002/for.2485

Abstract

This paper addresses the issue of freight rate risk measurement via Value at Risk (VaR) and forecast combination methodologies while focusing on detailed performance evaluation. We contribute to the literature in three ways: First, we re-evaluate the performance of popular VaR estimation methods on freight rates amid the adverse economic consequences of the recent financial and sovereign debt crisis. Second, we provide a detailed and extensive backtesting and evaluation methodology. Last, we propose a forecast combination approach for estimating VaR. Our findings suggest that our combination methods produce more accurate estimates for all the sectors under scrutiny, while in some cases they may be viewed as conservative since they tend to overestimate nominal VaR.

Item Type: Article
DOI/Identification number: 10.1002/for.2485
Uncontrolled keywords: Backtesting; Combination Forecasts; Volatility Forecasts; Freight Rates; Performance Evaluation; Value-at-Risk;
Subjects: H Social Sciences
Divisions: Faculties > Social Sciences > Kent Business School
Depositing User: Ekaterini Panopoulou
Date Deposited: 19 Jun 2017 08:30 UTC
Last Modified: 01 Aug 2019 23:00 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/62099 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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