RT info:eu-repo/semantics/article
T1 Estimating risk-neutral freight rate dynamics: a nonparametric approach
A1 Gómez del Valle, María Lourdes
A1 Kyriakou, Ioannis
A1 Martínez Rodríguez, Julia
A1 Nomikos, Nikos K.
K1 Finite differences
K1 Forward freight agreements
K1 Freight rates
K1 Market price of risk
K1 Nonparametric estimation
K1 Risk‐neutral drift
K1 5312.12 Transportes y Comunicaciones
K1 5312.11 Comercio
AB We present a new method for estimating the unobservable drift of the risk‐neutral spot freight rate process from Forward Freight Agreements (FFA)prices in the absence of a closed‐form solution and demonstrate robustness vianumerical simulations. Moreover, we conduct empirical experiments involving estimation of standard parametric models and a nonparametric modelusing Baltic Exchange data. We find that our nonparametric approach yieldsthe lowest FFA pricing errors across maturities. Finally, we estimate themarket price of risk, analyze its behavior in‐sample and out‐of‐sample andobserve that, when estimated using our nonparametric approach, it evolvesconsistently with the indices under study.
PB Wiley
SN 0270-7314
YR 2021
FD 2021
LK https://uvadoc.uva.es/handle/10324/81613
UL https://uvadoc.uva.es/handle/10324/81613
LA eng
NO The Journal of Futures Markets, vol. 41, n. 11, pp. 1824-1842.
NO Producción Científica
DS UVaDOC
RD 16-ene-2026