03775nam 22007335 450 991062929440332120251009110003.0981-19-5603-010.1007/978-981-19-5603-4(MiAaPQ)EBC7131905(Au-PeEL)EBL7131905(CKB)25280500400041(DE-He213)978-981-19-5603-4(OCoLC)1350855335(EXLCZ)992528050040004120221103d2022 u| 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierEnergy Trading and Risk Management Commentary on Arbitrage, Risk Measurement, and Hedging Strategy /by Tadahiro Nakajima, Shigeyuki Hamori1st ed. 2022.Singapore :Springer Nature Singapore :Imprint: Springer,2022.1 online resource (145 pages)Kobe University Monograph Series in Social Science Research,2524-5058Print version: Nakajima, Tadahiro Energy Trading and Risk Management Singapore : Springer,c2022 9789811956027 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.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 andenergy trade.Kobe University Monograph Series in Social Science Research,2524-5058EconometricsTime-series analysisStochastic modelsStatisticsFinancial risk managementPower resourcesEconometricsTime Series AnalysisStochastic Modelling in StatisticsStatistics in Business, Management, Economics, Finance, InsuranceRisk ManagementNatural Resource and Energy EconomicsEconometrics.Time-series analysis.Stochastic models.Statistics.Financial risk management.Power resources.Econometrics.Time Series Analysis.Stochastic Modelling in Statistics.Statistics in Business, Management, Economics, Finance, Insurance.Risk Management.Natural Resource and Energy Economics.332.644Nakajima Tadahiro1265784Hamori ShigeyukiMiAaPQMiAaPQMiAaPQBOOK9910629294403321Energy trading and risk management3058478UNINA