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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국해운물류학회 The Asian Journal of Shipping and Logistics The Asian Journal of Shipping and Logistics Vol.37 No.4
- 발행연도
- 2021.12
- 수록면
- 291 - 300 (10page)
- DOI
- 10.1016/j.ajsl.2021.07.002
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This paper investigates the predictability of the asset prices of commodity transport (i.e. dry bulk carriers)by testing the shipping Q index as a leading indicator. We employ a comprehensive back-testing proce-dure with a broad spectrum of benchmark simulations. The shipping Q index (an adaptation of Tobin’s Qindex) has been introduced to benchmark models to observe predictive gain and interpret predictabilityfeatures. This study presents a novel hybrid model to forecast time series data. The forecasting abilityof the proposed hybrid algorithm is compared to specific univariate time series models, dynamic mod-els, nonlinear models, and widely used hybrid models in the literature. The findings document that notonly the proposed hybrid model performs better than the other competitive models in terms of hold outsample forecasting, but also using the shipping Q index improves the forecast accuracy by remarkablyreducing forecasting error.
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참고문헌 (39)
참고문헌 신청
Alizadeh, A. / 2007 / Investment timing and trading strategies in the sale and purchase market for ships / Transportation Research Part B Methodological 41(1):126~143
Batchelor, R. / 2007 / Forecasting spot and forward prices in the international freight market / International Journal of Forecasting 23(1):101~114
Box, G. E. P. / 1976 / Time series analysis: Forecasting and control / Holden-Day
Brainard, W. / 1968 / Pitfalls in financial model building / The American Economic Review 58:99~122
Celik Girgin, S. / 2019 / Valuation mismatch and shipping q indicator for shipping asset management / Maritime Policy & Management :1~18
Batchelor, R. / 2007 / Forecasting spot and forward prices in the international freight market / International Journal of Forecasting 23(1):101~114
Box, G. E. P. / 1976 / Time series analysis: Forecasting and control / Holden-Day
Brainard, W. / 1968 / Pitfalls in financial model building / The American Economic Review 58:99~122
Celik Girgin, S. / 2019 / Valuation mismatch and shipping q indicator for shipping asset management / Maritime Policy & Management :1~18
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