Linear hedging of crude oil and natural gas

D 2018

Linear hedging of crude oil and natural gas

BENADA, Luděk

Základní údaje

Originální název

Linear hedging of crude oil and natural gas

Název česky

Linear hedging of crude oil and natural gas

Autoři

BENADA, Luděk (203 Česká republika, garant, domácí)

Vydání

Olney, Bucks MK46 5WB, UK, International Journal of Trade and Global Markets, od s. 323-333, 11 s. 2018

Nakladatel

Inderscience

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50206 Finance

Stát vydavatele

Švýcarsko

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Odkazy

URL

Kód RIV

RIV/00216224:14560/18:00115014

Organizační jednotka

Ekonomicko-správní fakulta

ISSN

DOI

http://dx.doi.org/10.1504/IJTGM.2018.097279

Klíčová slova anglicky

Hedging; Futures; Naive Portfolio; Minimum variance; Hedge ratio; Hedging effectiveness

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 26. 4. 2021 09:47, Mgr. Daniela Marcollová

Anotace

V originále

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.

Návaznosti

MUNI/A/1039/2016, interní kód MU

Název: Modelování volatility na finančních trzích a její aplikace v oblasti řízení rizik a oceňování aktiv (Akronym: VOLATILITA)

Investor: Masarykova univerzita, Modelování volatility na finančních trzích a její aplikace v oblasti řízení rizik a oceňování aktiv, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

BENADA, Luděk. Linear hedging of crude oil and natural gas. In Daniel Stavarek. International Journal of Trade and Global Markets. Olney, Bucks MK46 5WB, UK: Inderscience, 2018, s. 323-333. ISSN 1742-7541. Dostupné z: https://dx.doi.org/10.1504/IJTGM.2018.097279.

@inproceedings{1471601,
   author = {Benada, Luděk},
   address = {Olney, Bucks MK46 5WB, UK},
   booktitle = {International Journal of Trade and Global Markets},
   doi = {http://dx.doi.org/10.1504/IJTGM.2018.097279},
   editor = {Daniel Stavarek},
   keywords = {Hedging; Futures; Naive Portfolio; Minimum variance; Hedge ratio; Hedging effectiveness},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Olney, Bucks MK46 5WB, UK},
   pages = {323-333},
   publisher = {Inderscience},
   title = {Linear hedging of crude oil and natural gas},
   url = {http://dx.doi.org/10.1504/IJTGM.2018.097279},
   year = {2018}
}

TY  - JOUR
ID  - 1471601
AU  - Benada, Luděk
PY  - 2018
TI  - Linear hedging of crude oil and natural gas
PB  - Inderscience
CY  - Olney, Bucks MK46 5WB, UK
KW  - Hedging
KW  - Futures
KW  - Naive Portfolio
KW  - Minimum variance
KW  - Hedge ratio
KW  - Hedging effectiveness
UR  - http://dx.doi.org/10.1504/IJTGM.2018.097279
L2  - http://dx.doi.org/10.1504/IJTGM.2018.097279
N2  - 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.
ER  -

BENADA, Luděk. Linear hedging of crude oil and natural gas. In Daniel Stavarek. \textit{International Journal of Trade and Global Markets}. Olney, Bucks MK46 5WB, UK: Inderscience, 2018, s.~323-333. ISSN~1742-7541. Dostupné z: https://dx.doi.org/10.1504/IJTGM.2018.097279.

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