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Forecasting and Hedging in the Ship Recycling Market

Pettersén, Ida Kemiläinen; Direnzo, Joseph
Master thesis
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MATLAB Forecasting Section.pdf (228.8Kb)
Data_MT.xlsx (256.6Kb)
MATLAB Hedging Section.pdf (262.9Kb)
URI
https://hdl.handle.net/11250/2799662
Date
2021
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  • Master of Science [1116]
Abstract
This study examines the accuracy and hedge effectiveness of different static models to forecast and hedge ship demolition prices. Nine international forecasting variables and six futures contracts relevant in the ship demolition market are used in a Vector Error Correction Model, Error Correction Model, and Auto Regressive Moving Average model to perform this analysis. Out of sample results for the ECM using the Chinese iron ore index had the most accurate out of sample forecast accuracy. All models had low hedge effectiveness. Based on the study, regional variables and dynamic models are recommended for improved forecasting and hedging models which would address basis risk between spot and futures prices and changing correlation between variables over time.
Description
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2021
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Handelshøyskolen BI

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