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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    50200 - Economics and Business

Result continuities

  • Project

  • 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

  • e-ISSN

  • 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