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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52761

Title: Performance evaluation of BDI forecasting models: Cross efficiency, the directional distance function and the AVS utility function.
Authors: Ming-Miin Yu
Contributors: 國立臺灣海洋大學:運輸科學系
Keywords: Commodities
Dry bulk cargo
Economic forecasting
Mathematical models
Prices
Rates
Date: 2019-09
Issue Date: 2020-01-03T01:45:47Z
Publisher: Scisence Journals
Abstract: This article: reports on a study undertaken to evaluate the relative performance of Baltic Dry Index (BDI) forecasting models. The BDI expresses a freight rate for the transportation price of dry bulk commodities such as iron ore, coal, and grain. Forecasting models can play a critical role for shipping companies for both operational economics and investment strategies. The authors used a nonparametric efficiency measurement approach for the forecasting model selection problem. Three autoregressive models and three fuzzy time series approaches were used for the calibration of the data structure to depict the trend of the BDI. In addition, the authors defined a directional distance function to address for possible increases in accuracy, skewness, and decreases in variance obtained by cross efficiencies of those forecasting models. The authors also established a link to the proper indirect accuracy-variance-skewness (AVS) utility function for various users in various utilities. The article includes an empirical section with a set of BDI forecasting models as illustration.
Relation: 46(1) pp 177-199
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/52761
Appears in Collections:[運輸科學系] 期刊論文

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