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- W4309441446 abstract "This paper studies the year-by-year and month-by-month (the same month in all years) hedging effectiveness of futures contracts in the Spanish electricity market from 2007 to 2022. We compare the in-sample and out-of-sample hedging ability of naïve, minimum variance, partially predictable, non-parametric, and BEKK_T hedge ratios. Hedging effectiveness varies over time and across months because of unstable correlations between spot price changes and futures price changes. Some methods present meaningful in-sample performance, but the out-of-sample hedging effectiveness is limited. The hedging effectiveness of the naïve ratio on a year-by-year (month-by-month) basis, with monthly differences, is 16% (40%)." @default.
- W4309441446 created "2022-11-27" @default.
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- W4309441446 date "2023-05-01" @default.
- W4309441446 modified "2023-10-18" @default.
- W4309441446 title "The hedging effectiveness of electricity futures in the Spanish market" @default.
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- W4309441446 doi "https://doi.org/10.1016/j.frl.2022.103507" @default.
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