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Linear hedging of 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%3A00115014" target="_blank" >RIV/00216224:14560/18:00115014 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1504/IJTGM.2018.097279" target="_blank" >http://dx.doi.org/10.1504/IJTGM.2018.097279</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1504/IJTGM.2018.097279" target="_blank" >10.1504/IJTGM.2018.097279</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Linear hedging of crude oil and natural gas

  • Original language description

    The paper examines price risk hedging for the key energy sources. The subjects of research are the spot prices of West Texas Intermediate and the Henry Hub. The risk protection is provided by the application of futures contracts. The hedge ratio is determined by using OLS, Naive portfolio, Copula and GARCH. Afterwards the ability of the received weights to reduce risk of is measured by hedging effectiveness over two years. The results confirmed that the applied model for crude oil is rather irrelevant in comparison to the natural gas where the employed models provide significant differences in hedging effectiveness. Overall, in the case of natural gas all the applied models were unable to generate satisfactory hedging results.

  • 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

    2018

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    International Journal of Trade and Global Markets

  • ISBN

  • ISSN

    1742-7541

  • e-ISSN

    1742-755X

  • Number of pages

    11

  • Pages from-to

    323-333

  • Publisher name

    Inderscience

  • Place of publication

    Olney, Bucks MK46 5WB, UK

  • Event location

    Ostrava

  • Event date

    Jan 1, 2017

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article