Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices contains a term structure depending on both calendar-time and time to maturity. This...

In the recent literature, empirical tests of stationarity of freight rates often conclude that spot freight rates are non-stationary processes. However, many maritime economists would argue that the freight rate cannot exhibit asymptotically explosive behaviour, as implied by non-stationarity,...

This paper outlines the methodology to price the newly introduced Forward Ship Value Agreements (FOSVAs). FOSVAs are derivatives aimed at managing asset risk in the second-hand markets for bulk vessels and are traded over the counter. We then estimate the implied forward prices from historical...

Despite the illiquid and heterogeneous nature of the second-hand market for bulk ships and the resulting difficulty of creating reliable time series of ship prices for generic ships, the literature on ship price dynamics relies heavily on time series models. In this paper we present, for the...

According to the Efficient Market Hypothesis (EMH), the use of technical trading rules, where buy and sell decisions are based on past price patterns, should not consistently yield an economically significant excess profit. This paper evaluates the validity of the EMH in the second-hand market...