Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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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 -