Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities—Revisiting Metallgesellschaft
Round 1
Reviewer 1 Report
The topic is very niche and specific. This could be a good reference for related researchers. The authors should specific more clearly how the data were obtained. Moreover, a more detail discussion should be provided on the background of this study and providing a theoretical framework to help readers.
Author Response
Please see the attachment.
Author Response File: 
Author Response.pdf
Reviewer 2 Report
The paper covers an interesting and important topic of the application of short-term derivatives in order to hedge long-term liabilities, in the context of the energy and oil markets. The overall quality of the paper is high - the research methods were selected and applied correctly; the conlusions are grounded in the analysis. I have some minor comments.
- Both abstract and introduction should include some brief overview of the time of the analysis and paper's contributions.
- The references seem outdated - more recent publications should be added.
- The final section should be expanded and include more in-depth discussion of the issues such as limitations of the analysis, comparisons to the results of the previous studies, implications of the analysis, directions for the future research.
Author Response
Please see the attachment.
Author Response File: Author Response.pdf
Reviewer 3 Report
The article submitted for consideration is devoted to a dareamless non-
parametric approach to extrapolation of futures prices and alleged volatility. The
presented document demonstrates both feasibility and the complexity of attempts
to do this: although on average, long-term errors are quite close to zero, an attempt
to make it entails an increasing risk, because evaluation errors for both futures and
option contracts increase over time until repayment .
In general, the article is interesting, which has useful information. There are
no fundamental comments to the article.
Author Response
Please see the attachment.
Author Response File: Author Response.pdf
