Izvestiya of Saratov University.

Mathematics. Mechanics. Informatics

ISSN 1816-9791 (Print)
ISSN 2541-9005 (Online)

For citation:

Karatetskaia E. Y., Lakshina V. V. Multiple Hedging on Energy Market. Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, 2019, vol. 19, iss. 1, pp. 105-113. DOI: 10.18500/1816-9791-2019-19-1-105-113, EDN: TQVEIV

This is an open access article distributed under the terms of Creative Commons Attribution 4.0 International License (CC-BY 4.0).
Published online: 
28.02.2019
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Language: 
English
Heading: 
Computer Sciences
Article type: 
Article
UDC: 
519.25
DOI: 
10.18500/1816-9791-2019-19-1-105-113
EDN: 
TQVEIV

Multiple Hedging on Energy Market

Autors: 
Karatetskaia Efrosiniia Yu., Higher School of Economics – National Research University
Lakshina Valeriya V., Higher School of Economics – National Research University
Abstract: 

The article is devoted to the calculation of the dynamic hedge ratio based on three different types of volatility models, among which S-BEKK-GARCH model takes into account cross-sectional dependence. The hedging strategy is built for eight stock-futures pairs on energy market in Russia.

Key words: 
multivariate volatility models
spatial specifications
dynamic hedge ratio
energy market
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Received: 
14.08.2018
Accepted: 
01.10.2018
Published: 
28.02.2019
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