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Matches in SemOpenAlex for { <https://semopenalex.org/work/W1999316204> ?p ?o ?g. }

• W1999316204 abstract "Derivative contracts like futures are usually used to reduce the risk from variations in the spot market. In this work we use monthly futures contracts in the German electricity market, estimating the minimum variance hedge ratio conditionally by the multivariate GARCH diagonal BEKK model and unconditionally by OLS, the naïve strategy and wavelets. Even if low in terms of variance reduction, results indicate that dynamic hedging provides superior gains compared to those obtained from static hedging and wavelet time-scale decompositions." @default.
• W1999316204 created "2016-06-24" @default.
• W1999316204 creator A5006739562 @default.
• W1999316204 creator A5060889238 @default.
• W1999316204 date "2010-06-01" @default.
• W1999316204 modified "2023-09-27" @default.
• W1999316204 title "Dynamic and static hedging in electricity: Where do we stand?" @default.
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• W1999316204 doi "https://doi.org/10.1109/eem.2010.5558744" @default.
• W1999316204 hasPublicationYear "2010" @default.
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