Hedging Strategies of Energy Commodities

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Aleali Simin; EMAMVERDI GHODRATOLLAH; Abounoori Abass Ali; GHIASVAND ABOLFAZL

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Journal: ENERGY ECONOMICS REVIEW Year:2020 | Volume:16 | Issue:65 Page(s): 103-136

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Information Journal Paper

Title

Hedging Strategies of Energy Commodities

Author(s)

Aleali Simin | EMAMVERDI GHODRATOLLAH | Abounoori Abass Ali | GHIASVAND ABOLFAZL | Issue Writer Certificate

Keywords

Hedging RiskQ2

Future contractQ1

Minimum varianceQ1

CopulaQ1

Abstract

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.

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APA: Copy

Aleali, Simin, EMAMVERDI, GHODRATOLLAH, Abounoori, Abass Ali, & GHIASVAND, ABOLFAZL. (2020). Hedging Strategies of Energy Commodities. ENERGY ECONOMICS REVIEW, 16(65 ), 103-136. SID. https://sid.ir/paper/369517/en

Vancouver: Copy

Aleali Simin, EMAMVERDI GHODRATOLLAH, Abounoori Abass Ali, GHIASVAND ABOLFAZL. Hedging Strategies of Energy Commodities. ENERGY ECONOMICS REVIEW[Internet]. 2020;16(65 ):103-136. Available from: https://sid.ir/paper/369517/en

IEEE: Copy

Simin Aleali, GHODRATOLLAH EMAMVERDI, Abass Ali Abounoori, and ABOLFAZL GHIASVAND, “Hedging Strategies of Energy Commodities,” ENERGY ECONOMICS REVIEW, vol. 16, no. 65 , pp. 103–136, 2020, [Online]. Available: https://sid.ir/paper/369517/en

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