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An empirical analysis of freight rate and vessel price volatility transmission in global dry bulk shipping market

ISSN号：1004-9339
期刊名称：《税务与经济》
时间：0
分类：F551[经济管理—产业经济] U695.27[交通运输工程—港口、海岸及近海工程;交通运输工程—船舶与海洋工程]
作者机构：[1]State Key Laboratory of Ocean Engineering, Shanghai Jiao Tong Uniuersity, Shanghai 200240, China, [2]Department of Transportation, Shipping and Logistics, Shanghai Jiao Tong University, Shanghai 200240, China, [3]School of Electronic, Electrical and Systems Engineering, University of Birmingham, Edgbaston,Birmingham B15 2TT, UK
相关基金：This work is partially supported by State Key Laboratory of Ocean Engineering, Shanghai Jiao Tong University（GKZD010056） and Project of Humanities and Social Sciences, Ministry of Education, China （12YJCGJW001）.

作者： Lei Dai[1,2], Hao Hu[1,2], Di Zhang[3]

关键词：航运市场, 波动率, 干散货, 实证分析, 运价, GARCH模型, 船舶价格, 传导机制, Dry bulk shippingMulti-variate GARCHVolatility transmissionPortfolio management

中文摘要：

E-mail addresses： dailei1989@sjtu.edu.cn （L. Dai）, Corresponding author. State Key Laboratory of Ocean Engineering, Shanghai Jiao Tong University, Shanghai 200240, China. Tel：＋86 21 62933091; fax：＋86 21 62933163.E-mail addresses：hhu@sjtu.edu.cn （H. Hu）, E-mail addresses：zhangdifanny@gmail.com （D. Zhang）.

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