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Value-at-Risk Analysis of the Asymmetric Long-Memory Volatility Process of Dry Bulk Freight Rates
Company: Maritime Economics & Logistics
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: June
Resource Link: Click here to open
Download Count: 0
View Count: 801
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-5-2014
Publisher: Administrator
Summary
This study aims to apply value-at-risk (VaR) models to evaluate the risk of dry bulk freight rates when there is an asymmetric long-memory volatility process. The VaR estimations as well as expected shortfalls for both short and long trading positions are conducted. We use the Fractionally Integrated GARCH, Hyperbolic GARCH and Fractionally Integrated APARCH models to analyse the performance of the VaR models with the normal, Student-t and skewed Student-t distributions.
Author(s)
Chou, Heng-Chih Sign in to follow this author
Wu, Chun-Chou Sign in to follow this author
Chang, Chao Chi Sign in to follow this author
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