Cite this article as:
Karatetskaia E. Y., Lakshina V. V. Multiple Hedging on Energy Market . Izv. Saratov Univ. (N. S.), Ser. Math. Mech. Inform., 2019, vol. 19, iss. 1, pp. 105-113. DOI: https://doi.org/10.18500/1816-9791-2019-19-1-105-113
Multiple Hedging on Energy Market
The article is devoted to the calculation of the dynamic hedge ratio based on three different types of volatility models, among which S-BEKK-GARCH model takes into account cross-sectional dependence. The hedging strategy is built for eight stock-futures pairs on energy market in Russia.
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