Author(s); Year of theory; area of Shipping application

Type of model

Markets-sectors concerned-timing

Remarks

Glen et al., 1981 [2]

VAR

Tankers, 1970-1977

He ignored the risk differences involved

Glen [34]

Differentiation

Oil tankers, 1970-1978

Constant variance normally distributed; zero mean; DF & ADF tests

Kavussanos [35] [36] [37]

ARCH; GARCH; ARIMA²⁶; ARIMA-X²⁷

Volatility of freight rates, 1973-1992

Berg-Andreassen [38]

Expectations in time charters; period & spot rates

Errors found by Veenstra [5] in tests

Glen & Martin [39]

GARCH

Tankers

Confirmed the Kavussanos [35] [36] [37]

Wright [40]

Co-integration

Tankers; spot and time charter; market integration; mean values of rates

Long term integration; highly

integrated

Campbell & Shiller [41]

Model Assets with finite lives

A time varying discount rate

Kavussanos & Alizadeh [42]

Co-integration; VAR

Prices of ships; scrap values; 2 spreads

Rate volatility; the dominant model of rational expectations rejected

Wright [43]

VAR

Rational expectations-RE; spots and time charters

RE accepted in the long term

Engle [44]

Bollerslev [46]

ARCH²⁸; GARCH2⁹

Time varying volatility

The Constant volatility assumption relaxed; normally distributed errors

Engle & Granger [47] ;

Johansen [48] ; Campbell & Shiller [49]

VAR; Reduced form;

Stationarity problem

Alizadeh & Nomikos [50]

EGARCH³⁰; Granger causality

Volatility in 2nd hand prices, 1991-2002; liquidity impact

Positive association of trade volumes & returns

Chen & Wang [51]

EGARCH

Volatility; dry bulk; time charter series; (1999-2003)

Borrowed from finance

Mirmiran [52]

Trade flows and shipping markets (grain)

Glen & Martin [53]

Tanker pools; VLCC; impact on rates and earnings