DocumentCode
821817
Title
Hedging with futures contracts in a deregulated electricity industry
Author
Tanlapco, Eva ; Lawarrée, Jacques ; Liu, Chen-Ching
Author_Institution
Dept. of Econ., Washington Univ., Seattle, WA, USA
Volume
17
Issue
3
fYear
2002
fDate
8/1/2002 12:00:00 AM
Firstpage
577
Lastpage
582
Abstract
This paper is a statistical study of direct and cross hedging strategies using futures contracts in an electricity market. A comparison of the strategies is based on the standard deviation or risk of the values of the hedging positions. Results indicate that the use of electricity futures contracts is superior to using other related futures contracts such as crude oil.
Keywords
contracts; electricity supply industry; risk management; statistical analysis; cross hedging strategies; crude oil; direct hedging strategies; electricity futures contracts; electricity market; futures contracts; risk management; statistical study; Electricity supply industry; Electricity supply industry deregulation; Fluctuations; Forward contracts; Helium; Load forecasting; Natural gas; Petroleum; Regulators; Risk management;
fLanguage
English
Journal_Title
Power Systems, IEEE Transactions on
Publisher
ieee
ISSN
0885-8950
Type
jour
DOI
10.1109/TPWRS.2002.800897
Filename
1033696
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