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Measuring the market risk of freight rates: A forecast combination approach

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Measuring the market risk of freight rates : A forecast combination approach. / Argyropoulos, Christos; Panopoulou, Ekaterini.

In: Journal of Forecasting, Vol. 37, No. 2, 01.03.2018, p. 201-224.

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Argyropoulos, Christos ; Panopoulou, Ekaterini. / Measuring the market risk of freight rates : A forecast combination approach. In: Journal of Forecasting. 2018 ; Vol. 37, No. 2. pp. 201-224.

Bibtex

@article{9d5fc785c251406cba6a3c6bb284a5d7,
title = "Measuring the market risk of freight rates: A forecast combination approach",
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 reevaluate 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.",
keywords = "backtesting, combination forecasts, freight rates, performance evaluation, value-at-risk, volatility forecasts",
author = "Christos Argyropoulos and Ekaterini Panopoulou",
year = "2018",
month = mar,
day = "1",
doi = "10.1002/for.2485",
language = "English",
volume = "37",
pages = "201--224",
journal = "Journal of Forecasting",
issn = "0277-6693",
publisher = "John Wiley and Sons Ltd",
number = "2",

}

RIS

TY - JOUR

T1 - Measuring the market risk of freight rates

T2 - A forecast combination approach

AU - Argyropoulos, Christos

AU - Panopoulou, Ekaterini

PY - 2018/3/1

Y1 - 2018/3/1

N2 - 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 reevaluate 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.

AB - 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 reevaluate 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.

KW - backtesting

KW - combination forecasts

KW - freight rates

KW - performance evaluation

KW - value-at-risk

KW - volatility forecasts

U2 - 10.1002/for.2485

DO - 10.1002/for.2485

M3 - Journal article

AN - SCOPUS:85026509557

VL - 37

SP - 201

EP - 224

JO - Journal of Forecasting

JF - Journal of Forecasting

SN - 0277-6693

IS - 2

ER -