Stochastic modeling of Supramax spot and forward freight rates

@article{Benth2015StochasticMO,
  title={Stochastic modeling of Supramax spot and forward freight rates},
  author={Fred E. Benth and Steen Koekebakker},
  journal={Maritime Economics & Logistics},
  year={2015},
  volume={18},
  pages={391-413}
}
We conducted an empirical analysis of Supramax spot rates and propose a continuous time process to model the dynamics. The model incorporates features relevant for shipping freight rates, freight rate volatility that varies over time, sudden, big freight rate movements, and short-term, mean-reverting price trends. This suggests some degree of short-term predictability of Supramax spot rates, making shipping different from traditional asset markets, like stocks and currencies, and also most… CONTINUE READING