在BCI和BPI市场的货运费率之间的波动性,相关性和风险溢出效应:来自静态和动态GARCH-Copula和动态CoVaR模型的证据
Yuye Zou1, Jing Xu1, Yanhui Chen1
1College of Economics and Management, Shanghai Maritime University, Shanghai, China.
PloS one
|January 17, 2025
概括
本研究使用GARCH-Copula-CoVaR模型分析干散货运输货运费率波动. 调查结果揭示了路线特定的相关性和风险溢出效应,这对于管理全球航运业市场波动至关重要.
科学领域:
- 海洋经济学 海洋经济学
- 金融风险管理 金融风险管理
- 计量经济学 计量经济学
背景情况:
- 干散货运输市场对全球贸易至关重要.
- 了解货运费率动态对于市场稳定至关重要.
- 现有的研究往往忽略了不同航线的细微风险相互依存.
研究的目的:
- 调查波动性,相关性和风险溢出效应之间的波罗的海Capesize指数 (BCI) 和波罗的海Panamax指数 (BPI) 货运费率.
- 分析干散货二级市场货物指数的动态行为.
- 为航运和金融行业提供经验支持和风险管理策略.
主要方法:
- 使用GARCH-Copula-CoVaR模型来分析货运费率数据.
- 检查了各种航线上的动态相关性和风险溢出效应.
- 研究了地理因素对风险传播的影响.
主要成果:
- 在不同路线之间存在显著的相关性差异,C5和P3A_03路线显示出最高的正相关性.
- 在P1A_03和C5路线之间发现了单向风险溢出,而其他路线则表现出双向的积极风险溢出.
- 路线距离和地理位置似乎是影响风险溢出强度的关键因素.
结论:
- 货运费率的相关性和风险溢出效应是动态的,取决于路线.
- 地理特征在干散货运输市场上显著影响风险传播.
- 这些发现为开发有效的风险管理策略提供了宝贵的见解,以减轻市场波动.
相关概念视频
Factors Affecting Activity Coefficient
726
The extended Debye-Hückel equation indicates that the activity coefficient of an ion in an aqueous solution at 25°C depends on three partially interdependent properties: the ionic strength of the solution, the charge of the ion, and the ion size.
The activity coefficient value for an ion is close to one when the solution has almost zero ionic strength, i.e., when the solution shows close to ideal behavior. As the ionic strength of the solution increases from 0 to 0.1 mol/L, a...
The activity coefficient value for an ion is close to one when the solution has almost zero ionic strength, i.e., when the solution shows close to ideal behavior. As the ionic strength of the solution increases from 0 to 0.1 mol/L, a...
726
Variability: Analysis
126
Measures of variability are statistical metrics that reveal the dispersion pattern within a dataset. They are pivotal in biostatistics, providing insights into the heterogeneity within health and biological data. Variability signifies the degree to which data points diverge from one another, helping researchers understand the potential range of values and associated uncertainty within the data.
The range is a simple measure of variability, indicating the difference between the highest and...
The range is a simple measure of variability, indicating the difference between the highest and...
126
Coefficient of Variation
3.7K
The coefficient of variation measures the dispersion of the data points or distribution around the mean. Using the coefficient of variation, we can compare two data series with drastically different means or different units of measurement. The coefficient of variation for a sample and a population is expressed as a percentage of the ratio of standard deviation to the mean.
The coefficient of variation is a practical statistical tool in finance. It allows investors to assess the volatility or...
The coefficient of variation is a practical statistical tool in finance. It allows investors to assess the volatility or...
3.7K
Coefficient of Correlation
6.0K
The correlation coefficient, r, developed by Karl Pearson in the early 1900s, is numerical and provides a measure of strength and direction of the linear association between the independent variable x and the dependent variable y.
If you suspect a linear relationship between x and y, then r can measure how strong the linear relationship is.
What the VALUE of r tells us:
The value of r is always between –1 and +1: –1 ≤ r ≤ 1.
The size of the correlation r indicates the...
If you suspect a linear relationship between x and y, then r can measure how strong the linear relationship is.
What the VALUE of r tells us:
The value of r is always between –1 and +1: –1 ≤ r ≤ 1.
The size of the correlation r indicates the...
6.0K
Multicompartment Models: Overview
92
Multicompartment models are mathematical constructs that depict how drugs are distributed and eliminated within the body. They segment the body into several compartments, symbolizing various physiological or anatomical areas connected through drug transfer processes such as absorption, metabolism, distribution, and elimination.
These models offer a more comprehensive representation of drug behavior in the body than one-compartment models. They accommodate the complexity of drug distribution,...
These models offer a more comprehensive representation of drug behavior in the body than one-compartment models. They accommodate the complexity of drug distribution,...
92
Drug Concentration Versus Time Correlation
603
The plasma drug concentration-time curve is a crucial tool in pharmacokinetics, representing the drug's concentration in plasma at different time intervals post-administration. This curve illustrates the drug's journey from absorption into the systemic circulation, distribution to body tissues, and eventual elimination through excretion or biotransformation.
Two pivotal parameters are the minimum effective concentration (MEC) and the minimum toxic concentration (MTC). The MEC is the...
Two pivotal parameters are the minimum effective concentration (MEC) and the minimum toxic concentration (MTC). The MEC is the...
603


