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Which statistical model delivers the best possible forecasts of either spot - or forward shipping freight rates? In which direction runs the causality? Do FFA's provide a competitive edge to those using them? Daily data for the Baltic Exchange Panamax routes P2A and P3A from 2005 to 2009 is...
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This paper examines whether the inclusion of oil price shocks of different origin as exogenous variables in a wide set of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight rates. Kilian's (2009) oil price shocks of different origin...
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