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An empirical investigation of spot prices in tanker market using dynamic multiple regression models

Author

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  • Evangelos Xideas
  • Nikolaos D. Geomelos

Abstract

The aim of this paper is to investigate spot prices of tanker market following an extensive empirical analysis using dynamic multiple regressions models via autoregressive distributed lags (ADL). These models constitute the most widely used pattern for empirical analysis since they are more suitable to ceteris paribus analysis offering much more flexibility in the formation of general functional form relationships. Also, they can be used to build better predicting models in order to support policy makers' decisions. This paper focuses in an extensive testing of stationarity and time trend issues in order to overcome the problem of spurious regression. The estimated models have been also used to generate ex-post and ex-ante forecasts in order to evaluate both econometric specification and predicting accuracy of dynamic multiple regression models. Results reveal that spot prices of each ship type market are affected by different sets of independent variables and the estimated models generate quite accurate predictions.

Suggested Citation

  • Evangelos Xideas & Nikolaos D. Geomelos, 2011. "An empirical investigation of spot prices in tanker market using dynamic multiple regression models," International Journal of Decision Sciences, Risk and Management, Inderscience Enterprises Ltd, vol. 3(3/4), pages 238-259.
    • Handle: RePEc:ids:ijdsrm:v:3:y:2011:i:3/4:p:238-259
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    Citations

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    Cited by:

    1. N.D. Geomelos & E. Xideas, 2014. "Forecasting spot prices in bulk shipping using multivariate and univariate models," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-37, December.
    2. Nikolaos D. Geomelos & Evangelos Xideas, 2014. "Ex-Post and Ex-Ante Forecasts of Spot Prices in Bulk Shipping in a Period of Economic Crisis using Simultaneous Equation Models," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 64(2), pages 14-39, April-Jun.

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