Известия Саратовского университета. Новая серия.

Серия Математика. Механика. Информатика

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


Для цитирования:

Karatetskaia E. Y., Lakshina V. V. Multiple Hedging on Energy Market [Каратецкая Е. Ю., Лакшина В. В. Многократное хеджирование на энергетическом рынке] // Известия Саратовского университета. Новая серия. Серия : Математика. Механика. Информатика. 2019. Т. 19, вып. 1. С. 105-113. DOI: 10.18500/1816-9791-2019-19-1-105-113, EDN: TQVEIV


Статья опубликована на условиях лицензии Creative Commons Attribution 4.0 International (CC-BY 4.0).
Опубликована онлайн: 
28.02.2019
Полный текст:
(downloads: 132)
Язык публикации: 
английский
Рубрика: 
Тип статьи: 
Научная статья
УДК: 
519.25
EDN: 
TQVEIV

Multiple Hedging on Energy Market
[Многократное хеджирование на энергетическом рынке]

Авторы: 
Каратецкая Ефросиния Юрьевна, Национальный исследовательский университет «Высшая школа экономики»
Лакшина Валерия Владимировна, Национальный исследовательский университет «Высшая школа экономики»
Аннотация: 

Статья посвящена расчету динамического коэффициента хеджирования на основании трех многомерных моделей волатильности, среди которых модель на S-BEKK-GARCH, построенная с учетом кросссекционных зависимостей между активами. Стратегия хеджирования рассчитана для 8 пар «актив-фьючерс» энергетического рынка России.

Список источников: 
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Поступила в редакцию: 
14.08.2018
Принята к публикации: 
01.10.2018
Опубликована: 
28.02.2019
Краткое содержание:
(downloads: 109)