Application of Hedging on Natural Gas Prices
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00096121" target="_blank" >RIV/00216224:14560/17:00096121 - isvavai.cz</a>
Alternative codes found
RIV/00216305:26110/17:PU123945
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Application of Hedging on Natural Gas Prices
Original language description
The following paper examines the problematic of hedging natural gas in the USA. We apply the method of moving window to provide dynamic hedging. The hedge ratio calculated from the last 60 days is employed on the prices for the next 30 days. To estimate the hedge ratio naive portfolio, OLS, copula and wavelet were applied.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings, 16th Conference on Applied Mathematics Aplimat 2017
ISBN
9788022746502
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
115-125
Publisher name
Spektrum STU
Place of publication
Bratislava
Event location
Bratislava
Event date
Jan 1, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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