Subject | Main finding | Modeling style | Authors |
VECM | It generates the most accurate forecasts of spots rates, but not of futures, due to bias from overlapping intervals | Comparison with ARIMA, VAR and RW [28] | Kavussanos & Nomikos [61] |
The directional forecasting accuracy of FFA and BIFFEX | FFAs do not seem to be very accurate in revealing direction of future rates to a degree of 46% and 74% |
| Alizadeh & Nomikos [50] |
Lead-lag relationships between spots and future rates | Bidirectional causality in spots (all routes) | No volatility spillovers found | Kavussanos & Visvikis [62] |
Future rates are unbiased predictors of spots |
|
| Kavussanos et al. [63] |
Futures trading | They had a stability influence on spots’ volatility |
| Kavussanos et al. [64] |