RT Journal Article
T1 The hedging effectiveness of electricity futures in the Spanish market
A1 Peña, Juan Ignacio
AB This paper studies the year-by-year and month-by-month (the same month in all years) hedging effectiveness of futures contracts in the Spanish electricity market from 2007 to 2022. We compare the in-sample and out-of-sample hedging ability of naïve, minimum variance, partially predictable, non-parametric, and BEKK_T hedge ratios. Hedging effectiveness varies over time and across months because of unstable correlations between spot price changes and futures price changes. Some methods present meaningful in-sample performance, but the out-of-sample hedging effectiveness is limited. The hedging effectiveness of the naïve ratio on a year-by-year (month-by-month) basis, with monthly differences, is 16% (40%).
PB Elsevier
SN 1544-6123
YR 2023
FD 2023-05
LK https://hdl.handle.net/10016/38465
UL https://hdl.handle.net/10016/38465
LA eng
NO Two anonymous referees provided comments that improved the paper. We acknowledge financial support from Ministerio de Ciencia e Innovación grant PID2020-115744RB-I00, from CAM through grant EARLYFIN-CM, #S2015/HUM-3353, and from the Madrid Government (Comunidad de Madrid-Spain) under the Multiannual Agreement with UC3M in the line of Excellence of University Professors (EPUC3M12).
DS e-Archivo
RD 17 jul. 2024