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]