Main finding

Modeling style



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]