Application of Hedging on Natural Gas Prices
| Autoři | |
|---|---|
| Rok publikování | 2017 |
| Druh | Článek ve sborníku |
| Konference | Proceedings, 16th Conference on Applied Mathematics Aplimat 2017 |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Obecná matematika |
| Klíčová slova | Spot; Futures; Risk; Hedging; Hedge Ratio; Hedging Effectiveness; Copula; Wavelet |
| Popis | 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. |
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