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Energy Trading and Risk Management Commentary on Arbitrage, Risk Measurement, and Hedging Strategy

Energy Trading and Risk Management [electronic resource] : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy / by Tadahiro Nakajima, Shigeyuki Hamori.
1st ed. 2022.
Singapore : Springer Nature Singapore : Imprint: Springer, 2022.
Physical Description
1 online resource (XVII, 133 p.) 58 illus., 35 illus. in color.
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This book introduces empirical methods for analyzing energy markets. Even beginners in econometrics and mathematical finance must be able to learn how to utilize these methodologies and how to interpret the analysis results. This book provides some example analyses of the North American, European, and Asian energy markets. The reader will experience some theories and practices of energy trading and risk management. This book reveals the characteristics of energy markets using quantitative analyses. Examples include unit root, cointegration, long-term equilibrium, stochastic arbitrage simulation, multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models, exponential GARCH (EGARCH) models, optimal hedge ratio, copula, value-at-risk (VaR), expected shortfall, vector autoregressive (VAR) models, vector moving average (VMA) models, connectedness, and frequency decomposition. This book is suitable for people interested in the empirical study of energy markets and energy trade.
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Springer ENIN.
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Added to Catalog
November 08, 2022
Kobe University Monograph Series in Social Science Research,
Kobe University Monograph Series in Social Science Research,
Arbitrage Trading in Energy Market and Risk Measurement
Fuel Markets Connectedness and Fuel Portfolio Risk
Hedging Strategy with Futures Contracts
Investing in a portfolio consisting of energies and related commodities.
Also listed under
Hamori, Shigeyuki. author.
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