Chi‐Keung Woo; Horowitz, Ira; Olson, Arne; … - In: Managerial and Decision Economics 32 (2011) 4, pp. 265-279
This paper develops a linear regression model for using actively traded NYMEX natural gas futures as a cross-hedge against electricity spot‐price risk in the Pacific Northwest and for pricing the forward contracts in the presence of temperature and hydro risks. Our approach comports with...