[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Current Issue :: Archive :: Search :: Submit :: Contact ::
:: Volume 16, Issue 65 (Summer 1399 2020) ::
QEER 2020, 16(65): 103-135 Back to browse issues page
Hedging strategies of Energy Commodities
Simin Alali Mrs1, Ghodratollah Emamverdi 2, Abass Ali Abounoori1, Abolfazl Ghiasvand Dr1
1- Islamic Azad University,Central Tehran Branch
2- Islamic Azad University,Central Tehran Branch , ghemamverdi@iauctb.ac.ir
Abstract:   (587 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
 
Keywords: Hedging Risk, Future contract, Minimum variance, Copula
Full-Text [PDF 1285 kb]   (195 Downloads)    
Type of Study: Thesis(PhD.) | Subject: مديريت ريسك
Received: 2019/05/28 | Accepted: 2020/07/31 | Published: 2020/07/31 | ePublished: 2020/07/31
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA


XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

alali S, Emamverdi G, Abounoori A A, Ghiasvand A. Hedging strategies of Energy Commodities. QEER. 2020; 16 (65) :103-135
URL: http://iiesj.ir/article-1-1163-en.html


Volume 16, Issue 65 (Summer 1399 2020) Back to browse issues page
فصلنامه مطالعات اقتصاد انرژی Quarterly Energy Economics Review
Persian site map - English site map - Created in 0.04 seconds with 30 queries by YEKTAWEB 4269