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
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DOI - Digital Object Identifier
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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
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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
50206 - Finance
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
ENTERPRISE AND COMPETITIVE ENVIRONMENT
ISBN
9788075094995
ISSN
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e-ISSN
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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