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

Title
Energy Trading and Risk Management [electronic resource] : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy / by Tadahiro Nakajima, Shigeyuki Hamori.
ISBN
9789811956034
Edition
1st ed. 2022.
Publication
Singapore : Springer Nature Singapore : Imprint: Springer, 2022.
Physical Description
1 online resource (XVII, 133 p.) 58 illus., 35 illus. in color.
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Summary
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.
Variant and related titles
Springer ENIN.
Other formats
Printed edition:
Printed edition:
Printed edition:
Format
Books / Online
Language
English
Added to Catalog
November 08, 2022
Series
Kobe University Monograph Series in Social Science Research,
Kobe University Monograph Series in Social Science Research,
Contents
Introduction
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.
SpringerLink (Online service)
Citation

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