Alizadeh, Amir H.; Nomikos, Nikos K. - In: Journal of Transport Economics and Policy 45 (2011) 1, pp. 105-128
This paper investigates the relationship between the dynamics of the term structure and time-varying volatility of shipping freight rates. Using a dataset covering the period from January 1992 to September 2007 and augmented EGARCH models, we find support for the argument that the volatility of...