Dynamic Volatility Spillovers Across Shipping Freight Markets
Tsouknidis D.A., 2016. Dynamic volatility spillovers across shipping freight markets. Transportation Research Part E: Logistics and Transportation Review 91, 90-111.
45 Pages Posted: 8 Apr 2016 Last revised: 29 Jul 2016
Date Written: February 1, 2016
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 & Yilmaz (2009, 2012). 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 pair- wise. Results reveal the existence of large time-varying volatility spillovers across freight markets, which are more intense during and after the global financial crisis.
Keywords: Dynamic volatility spillovers, VAR models, shipping freight markets
JEL Classification: G11, G12, G13, G20
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