1997
A cointegration approach to forecasting freight rates in the dry bulk shipping sector
Publication
Publication
Transportation Research. Part A: Policy & Practice p. 447- 458
In this paper, a vector autoregressive model is developed for a sample of ocean dry bulk freight rates. Although the series of freight rates are themselves found to be non-stationary, thus precluding the use of many modelling methodologies, evidence provided by cointegration tests points to the existence of stable long-term relationships between the series. An assessment of the forecasts derived from the model suggests that the specification of these long-term relationships does not improve the accuracy of short- or long-term forecasts. These results are interpreted as a corroboration of the efficient market hypothesis.
| Additional Metadata | |
|---|---|
| , , , | |
| doi.org/10.1016/S0965-8564(97)00002-5, hdl.handle.net/1765/2106 | |
| ERIM Article Series (EAS) | |
| Transportation Research. Part A: Policy & Practice | |
| Organisation | Erasmus Research Institute of Management |
|
Franses, P. H., & Veenstra, A. (1997). A cointegration approach to forecasting freight rates in the dry bulk shipping sector. Transportation Research. Part A: Policy & Practice, 447–458. doi:10.1016/S0965-8564(97)00002-5 |
|
