Measuring the market risk of freight rates:A forecast combination approach

Argyropoulos, Christos and Panopoulou, Ekaterini (2018) Measuring the market risk of freight rates:A forecast combination approach. Journal of Forecasting, 37 (2). pp. 201-224. ISSN 0277-6693

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This paper addresses the issue of freight rate risk measurement via value at risk (VaR) and forecast combination methodologies while focusing on detailed performance evaluation. We contribute to the literature in three ways: First, we reevaluate the performance of popular VaR estimation methods on freight rates amid the adverse economic consequences of the recent financial and sovereign debt crisis. Second, we provide a detailed and extensive backtesting and evaluation methodology. Last, we propose a forecast combination approach for estimating VaR. Our findings suggest that our combination methods produce more accurate estimates for all the sectors under scrutiny, while in some cases they may be viewed as conservative since they tend to overestimate nominal VaR.

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Journal Article
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Journal of Forecasting
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23 Oct 2019 07:45
Last Modified:
15 Mar 2022 04:13