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http://hdl.handle.net/1765/2106

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web of science: cited 12 times

A cointegration approach to forecasting freight rates in the dry bulk shipping sector


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pp 447-458.
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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.



Keywords


Automatically Extracted Terms
  • series
  • model
  • freight
  • freight rates
  • forecast
  • cointegration
  • forecasting
  • table
  • freight rate series
  • error
  • trend
  • cointegration relations
  • relation
  • result
  • value
  • period
  • hypothesis
  • variable
  • relationship
  • unit root


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