Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy Economics 36 (2013) C, pp. 698-707
We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric …-variance hedging models, especially those based on GARCH, generate much greater margin and transaction costs than the naïve hedge …. Therefore we encourage hedgers to use a naïve hedging strategy on the crack spread bundles now offered by the exchange; this …