EconPapers    
Economics at your fingertips  
 

Managing Energy Price Risk using Futures Contracts: A Comparative Analysis

Jim Hanly ()

The Energy Journal, 2017, vol. Volume 38, issue Number 3

Abstract: This paper carries out a comparative analysis of managing energy risk through futures hedging, for energy market participants across a broad dataset that encompasses the largest and most actively traded energy products. Uniquely, we carry out a hedge comparison using a variety of risk measures including Variance, Value at risk (VaR), and Expected Shortfall as well as a utility based performance metric for two different investor horizons; weekly and monthly. We find that hedging is effective across the spectrum of risk measures we employ. We also find significant differences in both the hedging strategies and the hedging effectiveness of different energy assets. Better performance is found for West Texas Intermediate Oil and Heating Oil while the poorest performer in hedging terms is Natural Gas.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.iaee.org/en/publications/ejarticle.aspx?id=2928 (text/html)
Access to full text is restricted to IAEE members and subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aen:journl:ej38-3-hanly

Ordering information: This journal article can be ordered from
http://www.iaee.org/en/publications/ejsearch.aspx

Access Statistics for this article

More articles in The Energy Journal from International Association for Energy Economics Contact information at EDIRC.
Bibliographic data for series maintained by David Williams ().

 
Page updated 2019-04-06
Handle: RePEc:aen:journl:ej38-3-hanly