In this paper, the relationship between Gas oil and Brent Crude oil futures prices is investigated. The analysis is based on daily price series for five different contract lengths traded on ICE Futures Europe. The price series and their first differences are tested for stationarity. Linear...

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return,...

In this paper we identify a range of economical and financial risk factors and analyse their empirical impacts on tanker shipping stock returns, using an OLS-regression. Earlier shipping-related studies have concentrated on shipping stock returns in general and the differences between shipping...

In this paper we have examined various statistical properties of several hedge fund style investments. We have used hedge fund indices from CSBF/Tremont as well as global bonds and equity investment indices covering the period 1994-2005. (This period covers both up and down turns in the equity...