Linear hedging of crude oil and natural gas

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Linear hedging of crude oil and natural gas

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Linear hedging of crude oil and natural gas

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

International Journal of Trade and Global Markets

ISBN

—

ISSN

1742-7541

e-ISSN

1742-755X

Počet stran výsledku

11

Strana od-do

323-333

Název nakladatele

Inderscience

Místo vydání

Olney, Bucks MK46 5WB, UK

Místo konání akce

Ostrava

Datum konání akce

1. 1. 2017

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

—