Understanding the fundamentals of freight markets volatility

Understanding the fundamentals of freight markets volatility

We analyse empirically the drivers of freight market volatility. We use several macroeconomic and shipping-related factors that are known to affect the supply and demand for shipping and examine their impact on the term structure of freight options implied volatilities (IV). We find that the level o...

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Bibliographic Details
Main Authors: LIM, Kian Guan, NOMIKOS, Nikos K., YAP, Nelson
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Freight options
implied volatility
economic modelling
fundamental analysis
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6402
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7401/viewcontent/Understanding_the_fundamentals_of_freight_markets_volatility.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/6402
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7401/viewcontent/Understanding_the_fundamentals_of_freight_markets_volatility.pdf

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