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Comparison of the hedging performance in crude oil and natural gas

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00113809" target="_blank" >RIV/00216224:14560/17:00113809 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Comparison of the hedging performance in crude oil and natural gas

  • Original language description

    The paper examines the issue of hedging against price risk of the key energy sources. The subjects of research are the spot prices of the West Texas Intermediate and the Henry Hub. The risk protection is provided by applying the future contracts of underlying assets. The hedge ratio is determined by using the OLS, Naive portfolio, Copula and Arch/Garch. Afterwards, the ability to reduce risk was measured by hedging effectiveness over twelve months period. The significance of distinct models was evaluated on the sum of residual risk. The results confirmed that the applied model for crude oil is irrelevant in comparison to the natural gas, where the employed models provided significant differences in hedging effectiveness.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    50206 - Finance

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

    ENTERPRISE AND COMPETITIVE ENVIRONMENT

  • ISBN

    9788075094995

  • ISSN

  • e-ISSN

  • Number of pages

    9

  • Pages from-to

    78-86

  • Publisher name

    MENDEL UNIV BRNO, ZEMEDELSKA 1, BRNO, 613 00, CZECH REPUBLIC

  • Place of publication

    Brno

  • Event location

    Brno

  • Event date

    Jan 1, 2017

  • Type of event by nationality

    CST - Celostátní akce

  • UT code for WoS article

    000427306200009