Hedging ship price risk using freight derivatives in the drybulk market

Journal of Shipping and Trade

Table 8 Bootstrap results

	FFA port.	Constant	R2	F
Capesize
5-year	0.544^*** (0.003)	−0.088^*** (0.002)	0.784	36,322
10-year	0.648^*** (0.003)	−0.098^*** (0.002)	0.796	38,920
15-year	0.704^*** (0.003)	−0.110^*** (0.002)	0.799	39,729
20-year	0.583^*** (0.005)	−0.085^*** (0.003)	0.628	16,871

Figures in () are standard errors. FFA denotes the bootstrapped FFA-portfolio, Con. is the constant. ***indicate significance at the 1%, 5% and 10% level, respectively. The bootstrap series is constructed by 10,000 realizations of non-overlapping 52-week returns based on the stationary bootstrap of Politis and Romano (1994)