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DOI | 10.1016/j.enpol.2017.11.038 |
Hedging spark spread risk with futures | |
Martinez, Beatriz1; Torro, Hipolit2 | |
2018-02-01 | |
发表期刊 | ENERGY POLICY |
ISSN | 0301-4215 |
EISSN | 1873-6777 |
出版年 | 2018 |
卷号 | 113页码:731-746 |
文章类型 | Article |
语种 | 英语 |
国家 | Spain |
英文摘要 | This paper discusses the spark spread risk management using electricity and natural gas futures. We focus on three European markets in which the natural gas share in the fuel mix varies considerably: Germany, the United Kingdom, and the Netherlands. We fad that spark spread returns are partially predictable, and consequently, the Ederington and Salas (2008) minimum variance hedging approach should be applied. Hedging the spark spread is more difficult than hedging electricity and natural gas price risks with individual futures contracts. Whereas spark spread risk reduction for monthly periods produces values of between 20.05% and 48.90%, electricity and natural gas individual hedges attain reductions ranging of between 31.22% and 69.06%. Results should be of interest for agents in markets in which natural gas is part of the fuel mix in the power generation system. |
英文关键词 | Natural gas market Electricity market Futures contracts Spark spread Hedging ratio Seasonal effects |
领域 | 气候变化 |
收录类别 | SCI-E ; SSCI |
WOS记录号 | WOS:000423009500068 |
WOS关键词 | TIME-VARYING DISTRIBUTIONS ; ELECTRICITY FUTURES ; NATURAL-GAS ; GENERALIZED ARCH ; GARCH APPROACH ; MARKET PRICES ; CRACK SPREAD ; POWER ; VARIANCE ; PERFORMANCE |
WOS类目 | Economics ; Energy & Fuels ; Environmental Sciences ; Environmental Studies |
WOS研究方向 | Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/18217 |
专题 | 气候变化 |
作者单位 | 1.Univ Valencia, Dept Business Finance, Valencia, Spain; 2.Univ Valencia, Dept Financial & Actuarial Econ, Valencia, Spain |
推荐引用方式 GB/T 7714 | Martinez, Beatriz,Torro, Hipolit. Hedging spark spread risk with futures[J]. ENERGY POLICY,2018,113:731-746. |
APA | Martinez, Beatriz,&Torro, Hipolit.(2018).Hedging spark spread risk with futures.ENERGY POLICY,113,731-746. |
MLA | Martinez, Beatriz,et al."Hedging spark spread risk with futures".ENERGY POLICY 113(2018):731-746. |
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