Long Memory Analysis of Bulk Freight Rate under Structural Breaks

Analysis of freight rate volatility characters under structural breaks is of great importance after year 2008. In this paper, the presence of structural break points in bulk freight rate index time series is investigated by employing the Iterated Cumulative Sum of Squares (ICSS) algorithm. Furthermore, long memory features comparison of different vessel sizes, Supramax, Panamax and Capesize bulk carriers is also accomplished, and emperical results show that dry bulk carriers with smaller ship size are inclined to have stronger longrange correlation. Results of different types of Detrended Fluctuation Analysis (DFA) Method are compared, and influence of seasonality is taken into consideration. For policy makers and investors with different trading horizons, switching point is an important indicator of different long memory characters of freight rate index time series in different time ranges. Hence switching points in DFA results are picked out and conclusions of long memory feature are achieved.

Language

  • English

Media Info

  • Media Type: Digital/other
  • Features: Figures; References; Tables;
  • Pagination: pp 204-212
  • Monograph Title: Proceedings of the International Forum on Shipping, Ports and Airports (IFSPA) 2015: Empowering Excellence in Maritime and Air Logistics: Innovation Management and Technology

Subject/Index Terms

Filing Info

  • Accession Number: 01609502
  • Record Type: Publication
  • ISBN: 9789623677967
  • Files: TRIS
  • Created Date: Aug 8 2016 3:14PM