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Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, 2019, Volume 19, Issue 1, Pages 105–113
DOI: https://doi.org/10.18500/1816-9791-2019-19-1-105-113 (Mi isu794) 		 
Scientific Part
Computer Sciences

Multiple hedging on energy market

E. Yu. Karatetskayaa, V. V. Lakshinab

a Institute for Statistical Studies and Economics of Knowledge, National Research University Higher School of Economics, 11 Myasnitskaya St., 101000 Moscow, Russia
b National Research University Higher School of Economics, 136 Rodionov St., 603093 Nizhniy Novgorod, Russia
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DOI: https://doi.org/10.18500/1816-9791-2019-19-1-105-113
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.
Received: 14.08.2018
Accepted: 01.10.2018
Bibliographic databases:
Document Type: Article
UDC: 519.25
Language: English
Citation: E. Yu. Karatetskaya, V. V. Lakshina, “Multiple hedging on energy market”, Izv. Saratov Univ. Math. Mech. Inform., 19:1 (2019), 105–113
Citation in format AMSBIB
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\by E.~Yu.~Karatetskaya, V.~V.~Lakshina
\paper Multiple hedging on energy market
\jour Izv. Saratov Univ. Math. Mech. Inform.
\yr 2019
\vol 19
\issue 1
\pages 105--113
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\crossref{https://doi.org/10.18500/1816-9791-2019-19-1-105-113}
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