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Comparison of the impact of econometric models on hedging performance by 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%2F18%3A00102107" target="_blank" >RIV/00216224:14560/18:00102107 - isvavai.cz</a>

  • Result on the web

    <a href="https://acta.mendelu.cz/66/2/0423/" target="_blank" >https://acta.mendelu.cz/66/2/0423/</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.11118/actaun201866020423" target="_blank" >10.11118/actaun201866020423</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Comparison of the impact of econometric models on hedging performance by crude oil and natural gas

  • Original language description

    The paper examines the performance of hedging spot prices in crude oil and natural gas. The subject of the research are spot prices of West Texas Intermediate and Henry Hub. The risk protection is provided by the application of futures contracts of underlying assets. In our analysis three econometric models (OLS, Copula, GARCH) and a naive portfolio are applied to obtain the optimal hedge ratio. Afterwards, the calculated weights for futures are verified for the ability to reduce the spot price risk over twelve months. The success of each model in risk reduction is measured over the test period by a conventional tool and across the models by proper metric. The results of the analysis confirm high level of risk reduction by crude oil across models. On the contrary, the results of hedging in natural gas significantly lag in comparison to crude oil. In addition, the analysis confirms a strong variability over the tested period and models.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database

  • CEP classification

  • OECD FORD branch

    50200 - Economics and Business

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

  • ISSN

    1211-8516

  • e-ISSN

  • Volume of the periodical

    66

  • Issue of the periodical within the volume

    2

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    7

  • Pages from-to

    423-429

  • UT code for WoS article

  • EID of the result in the Scopus database

    2-s2.0-85047603445