دانلود مقاله ISI انگلیسی شماره 94484
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
94484 2018 28 صفحه PDF سفارش دهید 18553 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Multivariate modeling and analysis of regional ocean freight rates
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Transportation Research Part E: Logistics and Transportation Review, Volume 113, May 2018, Pages 194-221

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چکیده انگلیسی

In this paper, we propose a new multivariate model for the dynamics of regional ocean freight rates. We show that a cointegrated system of regional spot freight rates can be decomposed into a common non-stationary market factor and stationary regional deviations. The resulting integrated CAR process is new to the literature. By interpreting the common market factor as the global arithmetic average of the regional rates, both the market factor and the regional deviations are observable which simplifies the calibration of the model. Moreover, forward contracts on the market factor can be traded in the Forward Freight Agreement (FFA) market. We calibrate the model to historical spot rate processes and illustrate the term structures of volatility and correlation between the regional prices and the market factor. Our model is an important contribution towards improved modelling and hedging of regional price risk when derivative market liquidity is concentrated in a single global benchmark.

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