全球智库信息集成服务系统(G2TT): European Natural Gas Seasonal Effects on Futures Hedging

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	European Natural Gas Seasonal Effects on Futures Hedging
	Beatriz Martínez; Hipòlit Torró
发表日期	2015
出处	Energy: Resources and Markets
出版年	2015
语种	英语
摘要	This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends due to weather, demand, and storage level seasonalities. This paper follows and extends the Ederington and Salas (2008) framework and considers seasonalities in mean and volatility when minimum variance hedge ratios are computed. Our results show that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged values of the basis (futures price minus spot price). This fact remain true for short (a week) and long (one, three and six months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter than in summer. A simple volatility seasonal model that is based on sinusoidal functions on the basis improves the risk reduction obtained by strategies in which hedging ratios are estimated with linear regressions. Seasonal hedging strategies, linear regression based strategies, or even a naïve position, perform better than more sophisticated statistical methods. *** Suggested citation: Martínez, B., H. Torró, (2015), 'European Natural Gas Seasonal Effects on Futures Hedging', Nota di Lavoro 10.2015, Milan, Italy: Fondazione Eni Enrico Mattei.
特色分类	G11;L95
关键词	Natural Gas Market Futures Hedging Ratio Natural Gas Price Risk
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/european-natural-gas-seasonal-effects-on-futures-hedging/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118362
推荐引用方式 GB/T 7714	Beatriz Martínez,Hipòlit Torró. European Natural Gas Seasonal Effects on Futures Hedging. 2015.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
20152121222571Nota_d（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
2015212122364NDL2015（2115KB）	智库出版物		限制开放	CC BY-NC-SA	浏览