Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/167619 
Title: 

Models with Short-Term Variations and Long-Term Dynamics in Risk Management of Commodity Derivatives

The document was removed on behalf of the author(s)/ the editor(s).

Authors: 
Year of Publication: 
2017
Publisher: 
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft, Kiel und Hamburg
Abstract: 
We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts, heating oil futures contracts, RBOB gasoline futures contracts, PJM western hub peak and off-peak electricity futures contracts. We show that the models present well goodness of fit and explain two stylized facts of the data: the Samuelson effect and the seasonality effect. Our backtesting results demonstrate that the models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method possessing quick convergence is developed.
Subjects: 
Samuelson effect
seasonal effect
value-at-risk
least-square-estimation
Document Type: 
Preprint

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The document was removed on behalf of the author(s)/ the editor(s) on: January 2, 2019


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