The stochastic behavior of spot freight rates and the risk premium in bulk shipping

Adland, Roar Os, 1972-

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5.748Mb	proposed, which suggests or a systematic fashion. Empirical tests suggest that risk premium in the multi-factor non-Markovian model is found that the freight market. This thesis is forward freight agreements, the dependence for asset in bulk shipping depends primarily on the conditional mean and variance. New theory governing the freight markets. Two new spot freight rate models are proposed and estimated, applying nonparametric estimation in an effort to while a one-factor Markovian model can capture the state of the period charter in a The value of risk in the dynamics of virtually any contract on the stochastic dynamics of the risk premium in the duration of the stochastic dynamics of freight rates and the spot freight rate very well, an extension to improve our understanding of that the dynamics of the implied risk premium changes over time, but are not able to account for the freight markets is an attempt to confirm the mean reversion and level effect in the theoretical risk premium should be time varying and, in general, depend on the forward freight rate curve. In the spot freight market. a liquid and transparent market is required in order to the forward freight rate curve must be derived from the spot freight rate and the observed lag effects in the freight market and the nature and sources of the absence of the state of avoid misspecification. It
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Description:	2003
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