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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Abstract

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.

Item Type: Journal Article
Journal or Publication Title: Journal of Forecasting
Uncontrolled Keywords: /dk/atira/pure/subjectarea/asjc/1800/1803
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 138145
Deposited By: ep_importer_pure
Deposited On: 23 Oct 2019 07:45
Refereed?: Yes
Published?: Published
Last Modified: 03 Dec 2019 05:43
URI: https://eprints.lancs.ac.uk/id/eprint/138145

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