Time-varying risk aversion: An application to energy hedging
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- John Cotter & Jim Hanly, 2011. "Time Varying Risk Aversion: An Application to Energy Hedging," Papers 1103.5968, arXiv.org.
- John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
References listed on IDEAS
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Citations
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Cited by:
- Martínez, Beatriz & Torró, Hipòlit, 2018.
"Hedging spark spread risk with futures,"
Energy Policy, Elsevier, vol. 113(C), pages 731-746.
- Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Cotter, John & Hanly, Jim, 2012.
"A utility based approach to energy hedging,"
Energy Economics, Elsevier, vol. 34(3), pages 817-827.
- John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.
- John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Papers 1103.5973, arXiv.org.
- Martínez, Beatriz & Torró, Hipòlit, 2015.
"European natural gas seasonal effects on futures hedging,"
Energy Economics, Elsevier, vol. 50(C), pages 154-168.
- Beatriz Martínez & Hipòlit Torró, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Working Papers 2015.10, Fondazione Eni Enrico Mattei.
- Martínez, Beatriz & Torró, Hipòlit, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Energy: Resources and Markets 198462, Fondazione Eni Enrico Mattei (FEEM).
- Othieno, Ferdinand & Biekpe, Nicholas, 2019. "Estimating the conditional equity risk premium in African frontier markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 538-551.
- Furió, Dolores & Torró, Hipòlit, 2020. "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, vol. 88(C).
- Gong, Xu & Wen, Fenghua & Xia, X.H. & Huang, Jianbai & Pan, Bin, 2017. "Investigating the risk-return trade-off for crude oil futures using high-frequency data," Applied Energy, Elsevier, vol. 196(C), pages 152-161.
- Conlon, Thomas & Cotter, John, 2013.
"Downside risk and the energy hedger's horizon,"
Energy Economics, Elsevier, vol. 36(C), pages 371-379.
- Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
- Cotter, John & Hanly, Jim, 2015.
"Performance of utility based hedges,"
Energy Economics, Elsevier, vol. 49(C), pages 718-726.
- John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
- George E. Halkos & Apostolos S. Tsirivis, 2019. "Energy Commodities: A Review of Optimal Hedging Strategies," Energies, MDPI, Open Access Journal, vol. 12(20), pages 1-1, October.
More about this item
Keywords
Energy Hedging Risk management Risk aversion Forecasting;JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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