Application of Hedging on Natural Gas Prices

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Authors	BENADA Luděk KONEČNÁ Kateřina
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
Citation
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.
Related projects:	Modelování volatility na finančních trzích a její aplikace v oblasti řízení rizik a oceňování aktiv