The dynamic impacts of skewness on the risk–return relationship in the dry bulk spot freight rates and FFAs-Reference-Cited by-同舟云学术

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The dynamic impacts of skewness on the risk–return relationship in the dry bulk spot freight rates and FFAs

Published:2022-07-28 Issue:18 Volume:55 Page:1991-2004
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Sun Xiaolin¹,Ma Jun¹,Guo Haifeng²,Liu Hailong³

Affiliation:

1. College of Transport and Communications, Shanghai Maritime University, Shanghai, China

2. School of Finance, Southwestern University of Finance and Economics, Chengdu, China

3. Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China

Funder

National Natural Science Foundation of China

National Key Research and Development Program of China

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2022.2100873

Reference35 articles.

1. A conditional-SGT-VaR approach with alternative GARCH models

2. Barroso, P., and P. F. Maio. 2021. “The Risk-Return Tradeoff Among Equity Factors.” SSRN 2909085.

3. The frequency of regime switching in financial market volatility

4. Controlling for relevant variables: Energy consumption and economic growth nexus revisited in an EGARCH-M (Exponential GARCH-in-Mean) model

5. Asymptotics for parametric GARCH-in-Mean models

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