Hedging of Brent
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00098446" target="_blank" >RIV/00216224:14560/17:00098446 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Hedging of Brent
Original language description
The paper examines a possibility for hedging against price risk on the oil Brent index. Crude oil is one of the most traded commodity in the world. The importance of crude oil is for a modern life essential. However, the trading with the commodity is associated with a considerable price risk. The aim of the paper is to estimate distinct hedge ratios using three distinct methodologies and afterwards measure the reduction of price risk. The classical OLS, Copula and Mean extended Gini were used to find an appropriate weights of. The investigated data was spot prices of Brent and futures prices of Brent. The results confirmed a strong dependence between hedging effectiveness and correlation. Acceding to each methodology various hedge ratios were provided. Hence, the ability to reduce risk was different in each applied methodology, where for the high correlation the copula and the extended mean Gini coefficient were more appropriate. A lower correlation speaks in favor to the classical OLS.
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
50200 - Economics and Business
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
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 OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE
ISBN
9788022543620
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
24-30
Publisher name
EKONOM
Place of publication
BRATISLAVA
Event location
Natl Bank Slovakia, Bratislava, SLOVAKIA
Event date
Sep 20, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000411851600004