Geodesic
Multiple hedging on energy market
Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, Tome 19 (2019) no. 1, pp. 105-113.

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The article is devoted to the calculation of the dynamic hedge ratio based on three different types of volatility models, among which S-BEKK-GARCH model takes into account cross-sectional dependence. The hedging strategy is built for eight stock-futures pairs on energy market in Russia. 
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E. Yu. Karatetskaya; V. V. Lakshina. Multiple hedging on energy market. Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, Tome 19 (2019) no. 1, pp. 105-113. http://geodesic.mathdoc.fr/item/ISU_2019_19_1_a8/

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