@article{Arunanondchai:266564,
      recid = {266564},
      author = {Arunanondchai, Panit and Sukcharoen, Kunlapath and  Leatham, David J. },
      title = {Dealing with Downside Risk in Energy Markets: Futures  versus Exchange-Traded Funds},
      address = {2018-02-05},
      number = {2015-2018-132},
      pages = {23},
      year = {2018},
      note = {For SAEA 2018},
      abstract = {The emergence of energy exchange-traded funds (ETFs) has  provided an alternative vehicle for both energy producers  and users to hedge their respective exposures to  unfavorable energy price movements without opening a  relative expensive futures account. While hedging with  energy ETFs has been touted as a promising alternative to  hedging with traditional energy futures, the question  concerning the hedging effectiveness of energy ETFs versus  energy futures, especially in terms of their ability to  manage downside risk, remains largely unexplored.  Accordingly, this study formally compares the hedging  effectiveness of the two instruments in a downside risk  framework from the perspective of both short and long  hedgers. Two estimation methods are applied to estimate the  minimum-Value at Risk (VaR) and minimum-Expected Shortfall  (ES) hedge ratios: the empirical distribution function  method and the kernel copula method. The empirical  application focuses on four different energy commodities:  crude oil, gasoline, heating oil, and natural gas.},
      url = {http://ageconsearch.umn.edu/record/266564},
      doi = {https://doi.org/10.22004/ag.econ.266564},
}