| BENADA, Luděk a Kateřina KONEČNÁ. Application of Hedging on Natural Gas Prices. In Dagmar Szarková, Peter Letavaj, Daniela Richtáriková, Monika Prašílová. Proceedings, 16th Conference on Applied Mathematics Aplimat 2017. Bratislava: Spektrum STU, 2017, s. 115-125. ISBN 978-80-227-4650-2. |
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@inproceedings{1371749,
author = {Benada, Luděk and Konečná, Kateřina},
address = {Bratislava},
booktitle = {Proceedings, 16th Conference on Applied Mathematics Aplimat 2017},
editor = {Dagmar Szarková, Peter Letavaj, Daniela Richtáriková, Monika Prašílová},
keywords = {Spot; Futures; Risk; Hedging; Hedge Ratio; Hedging Effectiveness; Copula; Wavelet},
howpublished = {paměťový nosič},
language = {eng},
location = {Bratislava},
isbn = {978-80-227-4650-2},
pages = {115-125},
publisher = {Spektrum STU},
title = {Application of Hedging on Natural Gas Prices},
year = {2017}
}
TY - JOUR
ID - 1371749
AU - Benada, Luděk - Konečná, Kateřina
PY - 2017
TI - Application of Hedging on Natural Gas Prices
PB - Spektrum STU
CY - Bratislava
SN - 9788022746502
KW - Spot
KW - Futures
KW - Risk
KW - Hedging
KW - Hedge Ratio
KW - Hedging Effectiveness
KW - Copula
KW - Wavelet
N2 - The following paper examines the problematic of hedging natural gas in the USA. We apply the method of moving window to provide dynamic hedging. The hedge ratio calculated from the last 60 days is employed on the prices for the next 30 days. To estimate the hedge ratio naive portfolio, OLS, copula and wavelet were applied.
ER -
BENADA, Luděk a Kateřina KONEČNÁ. Application of Hedging on Natural Gas Prices. In Dagmar Szarková, Peter Letavaj, Daniela Richtáriková, Monika Prašílová. \textit{Proceedings, 16th Conference on Applied Mathematics Aplimat 2017}. Bratislava: Spektrum STU, 2017, s.~115-125. ISBN~978-80-227-4650-2.
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