Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets (replication data)

DOI

Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A conceptual model is developed for a trader hedging the crack spread. Various hedge ratio estimation techniques are compared to a Multivariate GARCH model that directly incorporates the time to maturity effect often found in futures markets. Modelling of the time-variation in hedge ratios via the Multivariate GARCH methodology, and thus taking into account volatility spillovers between markets is shown to result in significant reductions in uncertainty even while accounting for trading costs.

Identifier
DOI https://doi.org/10.15456/jae.2022314.1310359754
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:776250
Provenance
Creator Haigh, Michael S.; Holt, Matthew T.
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2002
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics