Nikos Nomikos

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In this paper we employ a Markov Regime Switching (MRS) approach for determining time-varying minimum variance hedge ratio in energy futures markets. The hedging effectiveness of New York Mercantile Exchange (NYMEX) petroleum futures contracts is examined using univariate MRS and bivariate MRS – VAR with GARCH error structure. The rationale behind the use(More)
100 Word Abstract: Using Directed Acyclic Graphs (DAG's) and Error Correction Models we study the dynamics of the notoriously volatile international freight prices that comprise the Baltic Panamax Index, the index on which freight futures trading is based. The DAG's are used to make definitive statements about the contemporaneous correlations between prices(More)
Description: The Blackwell Companion to Maritime Economics presents comprehensive and in–depth coverage of shipping and port economics. Featuring contributions from the most respected international specialists in the field, this reference offers up–to–date insights into maritime carriers and their markets (e. In addition to providing a comprehensive survey(More)
In this paper, we propose novel relay selection policies that aim at reducing the average delay by incorporating the buffer size of the relay nodes into the relay selection process. More specifically, we propose two delay-aware protocols that are based on the max - link relay selection protocol. First, a delay-aware only approach while it reduces the delays(More)
This paper reproduces the performance of a geometric average Spot Energy Index by investing only in a subset of stocks from the Dow Jones Composite Average, the FTSE 100 and Bovespa Composite indexes, and in two pools that include only energy-sector stocks from the US and the UK respectively. Daily data are used and the index-tracking problem for passive(More)
This paper proposes a set of VaR models appropriate to capture the dynamics of energy prices and subsequently quantify energy price risk by calculating VaR and ES measures. Amongst the competing VaR methodologies evaluated in this paper, besides the commonly used benchmark models, a MC simulation approach and a Hybrid MC with Historical Simulation approach,(More)
This paper utilises a new approach for determining minimum variance hedge ratio in stock index futures markets. More specifically, the performance of time-varying hedge ratios generated from Markov Regime Switching (MRS) models is investigated. The rational behind the use of these models stems from the fact that the dynamic relationship between spot and(More)
This paper estimates time-varying and constant hedge ratios, and investigates their performance in reducing freight rate risk in routes 1 and 1A of the Baltic Freight Index. Time-varying hedge ratios are generated by a bivariate error correction model with a GARCH error structure. We also introduce an augmented GARCH (GARCH-X) model where the error(More)
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