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Multiple Hedging on Energy Market

Authors: Karatetskaia E. Y., Lakshina V. V.

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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ISSN 2541-9005 (Online)
ISSN 1816-9791 (Print)
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