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Shipping equity risk behavior and portfolio management

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Table 1 Preliminary data statistics. This table summarizes the main descriptive statistics for the five US shipping stock indices’ log-returns from 30 October 2003 to 12 October 2016; a total of 3,260 daily observations
Table 2 Calibration results (30 October 2003 to 12 October 2016). This table presents the maximum likelihood parameter estimates of the GARCH(1,1) model, N(1) and the normal mixture GARCH models with two, MxN(2), and three MxN(3), components
Table 3 Value-at-risk (VaR) results. The table reports percentage violations corresponding to 1-day VaR estimates over the out-of-sample period (3 November 2008 to 12 October 2016; 2,000 obs) for different univariate models
Table 4 Risk management loss function. The table reports the Firm’s Loss Function (FLF, Eq
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