The Effect of Noise Reduction on Long Memory Test of Bulk Freight Rate Index

Analysis of nonlinear freight rate volatility characteristics attracts more attention after year 2008. In this paper, the authors test the long memory feature of bulk freight rate index and discover scaling behavior. The switching points, indicators of scaling behavior, can be eliminated after nonlinear noise reduction technique, thus the authors conclude that high-frequency noise is the cause of scaling behavior. Additionally, comparison of long memory features between different vessel sizes, Supramax, Panamax and Capesize bulk carriers, is also accomplished both before and after noise reduction. Empirical results show that their differences would disappear after noise reduction, indicating that ship size is one of the short-term external factors which result in high-frequency noises in freight rate index time series.

Language

  • English

Media Info

  • Media Type: Digital/other
  • Features: Figures; References; Tables;
  • Pagination: pp 212-219
  • 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: 01609585
  • Record Type: Publication
  • ISBN: 9789623677967
  • Files: TRIS
  • Created Date: Aug 8 2016 3:16PM