Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index

被引:27
作者
Geman, Helyette [1 ,2 ]
Smith, William O. [3 ]
机构
[1] Birkbeck Univ London, Commod Finance Ctr, London, England
[2] ESCP Europe, Berlin, Germany
[3] Birkbeck Univ London, London, England
来源
JOURNAL OF ALTERNATIVE INVESTMENTS | 2012年 / 15卷 / 01期
关键词
D O I
10.3905/jai.2012.15.1.098
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
[No abstract available]
引用
收藏
页码:98 / 109
页数:12
相关论文
共 22 条
[1]   Maximum likelihood estimation of discretely sampled diffusions:: A closed-form approximation approach [J].
Aït-Sahalia, Y .
ECONOMETRICA, 2002, 70 (01) :223-262
[2]  
Alizadeh A.H., 2009, SHIPPING DERIVATIVES
[3]   Computation and analysis of multiple structural change models [J].
Bai, J ;
Perron, P .
JOURNAL OF APPLIED ECONOMETRICS, 2003, 18 (01) :1-22
[4]  
Barty-King H., 1994, BALTIC STORY BALTICK
[5]   MEAN REVERSION IN EQUILIBRIUM ASSET PRICES - EVIDENCE FROM THE FUTURES TERM STRUCTURE [J].
BESSEMBINDER, H ;
COUGHENOUR, JF ;
SEGUIN, PJ ;
SMOLLER, MM .
JOURNAL OF FINANCE, 1995, 50 (01) :361-375
[6]   The fine structure of asset returns: An empirical investigation [J].
Carr, P ;
Geman, H ;
Madan, DB ;
Yor, M .
JOURNAL OF BUSINESS, 2002, 75 (02) :305-332
[7]  
Cox J. C., 1975, WORKING PAPER
[8]   A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
ECONOMETRICA, 1985, 53 (02) :385-407
[9]  
Cufley C., 1972, OCEAN FREIGHTS CHART
[10]   FURTHER RESULTS ON THE CONSTANT ELASTICITY OF VARIANCE CALL OPTION PRICING MODEL [J].
EMANUEL, DC ;
MACBETH, JD .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1982, 17 (04) :533-554