Long Memory and Asymmetric Time Varying Spillover Effects in Dry Bulk Freight Markets

The findings presented in this article contain useful information for such diverse purposes as vessel allocation, portfolio management and risk management. Two versions of bivariate asymmetric mixed normal GARCH models to capture the skewness and kurtosis detected in both the conditional and unconditional return distributions of dry bulk freight rates are used in this study. The empirical results play a significant role in improving the understanding of return dynamics and the results incorporate the long memory effect on the returns and provide better descriptions of the dynamic behaviors of the freight market prices. In addition, mixed normal models for time-varying volatility provide a better fit to the conditional densities than the usual GARCH specification and have the important advantage that the conditional higher moments are time-varying. This implies that the volatility skews implied by mixed normal models are more likely to exhibit the features of risk and that the direction of the information flow is regime dependent.


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  • Accession Number: 01499068
  • Record Type: Publication
  • Files: TRIS
  • Created Date: Oct 22 2013 12:03PM