Hedging with a generalised basis risk: empirical results. (1st January 2011)
- Record Type:
- Journal Article
- Title:
- Hedging with a generalised basis risk: empirical results. (1st January 2011)
- Main Title:
- Hedging with a generalised basis risk: empirical results
- Authors:
- Alghalith, Moawia
Lalloo, Ricardo
Franklin, Martin
Floros, Christos - Abstract:
- Previous research assumes that Using a general form of basis risk, we provide empirical comparative statics results. Moreover, we relax the statistical independence assumption. Our monthly data series covers the period March 2000 to 2010, and includes the Henry Hub spot price, futures price and the quantity of natural gas and the hedged quantity. The results show that
- Is Part Of:
- International journal of financial markets and derivatives. Volume 2:Number 3(2011)
- Journal:
- International journal of financial markets and derivatives
- Issue:
- Volume 2:Number 3(2011)
- Issue Display:
- Volume 2, Issue 3 (2011)
- Year:
- 2011
- Volume:
- 2
- Issue:
- 3
- Issue Sort Value:
- 2011-0002-0003-0000
- Page Start:
- 244
- Page End:
- 248
- Publication Date:
- 2011-01-01
- Subjects:
- gas futures -- spot -- basis risk -- hedging
Derivative securities -- Mathematical models -- Periodicals
Capital market -- Periodicals
332.605 - Journal URLs:
- http://www.inderscience.com/browse/index.php?journalID=307 ↗
http://www.inderscience.com/ ↗ - DOI:
- 10.1504/IJFMD.2011.042604 ↗
- Languages:
- English
- ISSNs:
- 1756-7130
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 5777.xml