Detail publikace

Application of Hedging on Natural Gas Prices

BENADA, L., KONEČNÁ, K.

Originální název

Application of Hedging on Natural Gas Prices

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

Spot; Futures; Risk; Hedging; Hedge Ratio; Hedging Effectiveness; Copula; Wavelet

Autoři

BENADA, L., KONEČNÁ, K.

Vydáno

31. 1. 2017

Nakladatel

Spektrum STU

Místo

Bratislava

ISBN

978-80-227-4650-2

Kniha

Proceedings, 16th Conference on Applied Mathematics Aplimat 2017

Číslo edice

1

Strany od

115

Strany do

125

Strany počet

11

BibTex

@inproceedings{BUT137454,
  author="Kateřina {Pokorová}",
  title="Application of Hedging on Natural Gas Prices",
  booktitle="Proceedings, 16th Conference on Applied Mathematics Aplimat 2017",
  year="2017",
  number="1",
  pages="115--125",
  publisher="Spektrum STU",
  address="Bratislava",
  isbn="978-80-227-4650-2"
}