Volatility, correlation and risk spillover effect between freight rates in BCI and BPI markets: Evidence from static and dynamic GARCH-Copula and dynamic CoVaR models.
The dry bulk shipping market plays a crucial role in global trade. To examine the volatility, correlation, and risk spillover between freight rates in the BCI and BPI markets, this paper employs the GARCH-Copula-CoVaR model. We analyze the dynamic behavior of the secondary market freight index for d...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2025-01-01
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| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0315167 |
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