A Co-integration Approach to Forecasting Container Carriers' Time Charter Rates

作     者：陈飞儿 张仁颐 CHEN Fei-er, ZHANG Ren-yi (School of Naval Architecture, Ocean & Civil Engineering, Shanghai Jiaotong University, Shanghai 200030, China)

作者机构：School of Naval Architecture Ocean & Civil Engineering Shanghai Jiaotong University 

出 版 物：《Journal of Shanghai Jiaotong university(Science)》 (上海交通大学学报（英文版）)

年 卷 期：2008年第13卷第3期

页      面：343-347页

核心收录：

学科分类：08[工学] 0824[工学-船舶与海洋工程] 

主　　题：co-integration forecast container carrier time charter rate 

摘      要：A vector autoregressive model was developed for a sample of container carrier time charter rates. Although the series of time charter rates are themselves found non-stationary, thus precluding the use of many modeling methodologies, evidence provided by co-integration tests points to the existence of stable long-term relationships between the series. An assessment of the forecasts derived from the model suggests that the spec-ification of these long-term relationships does not improve the accuracy of long-term forecasts. These results are interpreted as a corroboration of the efficient market hypothesis.