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Hedging strategies of Energy Commodities
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Simin Alali1   , Ghodratollah Emamverdi *2 , Abass Ali Abounoori1 , Abolfazl Ghiasvand1 |
1- Islamic Azad University,Central Tehran Branch
2- Islamic Azad University,Central Tehran Branch , ghemamverdi@iauctb.ac.ir |
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Abstract: (3240 Views) |
The paper examines the issue of hedging in energy markets. The objective of this study is to select an optimal model that will provide the highest price risk reduction for the selected commodities. We apply the ordinary least squares methods, autoregressive model, autoregressive conditional heteroscedasticity and copula to calculate the appropriate dynamic minimum-variance hedge ratio. The objects of hedging are the spot and futures prices. We use weekly data for the period 2013 to 2018 to estimate our values. Empirical results show that the Copula model is the most effective method for hedging against price risks.
JEL Classification: G13, C58, C22
Keywords: Hedging Risk, Future contract, Minimum variance, Copula
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| Keywords: Hedging Risk, Future contract, Minimum variance, Copula |
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Full-Text [PDF 1285 kb]
(2240 Downloads)
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Type of Study: Thesis(PhD.) |
Subject:
مديريت ريسك
Received: 2019/05/28 | Accepted: 2020/07/31 | Published: 2020/07/31 | ePublished: 2020/07/31
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