Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy / / by Tadahiro Nakajima, Shigeyuki Hamori
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| Autore: |
Nakajima Tadahiro
|
| Titolo: |
Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy / / by Tadahiro Nakajima, Shigeyuki Hamori
|
| Pubblicazione: | Singapore : , : Springer Nature Singapore : , : Imprint : Springer, , 2022 |
| Edizione: | 1st ed. 2022. |
| Descrizione fisica: | 1 online resource (145 pages) |
| Disciplina: | 332.644 |
| Soggetto topico: | Econometrics |
| Time-series analysis | |
| Stochastic models | |
| Statistics | |
| Financial risk management | |
| Power resources | |
| Time Series Analysis | |
| Stochastic Modelling in Statistics | |
| Statistics in Business, Management, Economics, Finance, Insurance | |
| Risk Management | |
| Natural Resource and Energy Economics | |
| Persona (resp. second.): | HamoriShigeyuki |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Energy trading and risk management |
| ISBN: | 981-19-5603-0 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910629294403321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Kobe University Monograph Series in Social Science Research, . 2524-5058