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
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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
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
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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
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