E. Yu. Karatetskaya, V. V. Lakshina, “Multiple hedging on energy market”, Izv. Saratov Univ. Math. Mech. Inform., 2019, Volume 19, Issue 1,Pages <nobr>105

Scientific Part
Computer Sciences

Multiple hedging on energy market

E. Yu. Karatetskaya^a, V. V. Lakshina^b

^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

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.

UDC: 519.25

Received: 14.08.2018
Accepted: 01.10.2018

Language: English

DOI: 10.18500/1816-9791-2019-19-1-105-113