Publication detail

Application of Hedging on Natural Gas Prices

BENADA, L., KONEČNÁ, K.

Original Title

Application of Hedging on Natural Gas Prices

Type

conference paper

Language

English

Original Abstract

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.

Keywords

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

Authors

BENADA, L., KONEČNÁ, K.

Released

31. 1. 2017

Publisher

Spektrum STU

Location

Bratislava

ISBN

978-80-227-4650-2

Book

Proceedings, 16th Conference on Applied Mathematics Aplimat 2017

Edition number

1

Pages from

115

Pages to

125

Pages count

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"
}