Comparison of the hedging performance in crude oil and natural gas

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Comparison of the hedging performance in crude oil and natural gas

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Comparison of the hedging performance in crude oil and natural gas

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

ENTERPRISE AND COMPETITIVE ENVIRONMENT

ISBN

9788075094995

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

78-86

Název nakladatele

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

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2017

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

000427306200009