Application of Hedging on Natural Gas Prices



Year of publication 2017
Type Article in Proceedings
Conference Proceedings, 16th Conference on Applied Mathematics Aplimat 2017
MU Faculty or unit

Faculty of Economics and Administration

Field General mathematics
Keywords Spot; Futures; Risk; Hedging; Hedge Ratio; Hedging Effectiveness; Copula; Wavelet
Description 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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