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

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, a...

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Bibliographic Details
Main Authors: Nakajima, Tadahiro, Hamori, Shigeyuki (Author)
Format: eBook
Language:English
Published: Singapore Springer Nature Singapore 2022, 2022
Edition:1st ed. 2022
Series:Kobe University Monograph Series in Social Science Research
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Description
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
Physical Description:XVII, 133 p. 58 illus., 35 illus. in color online resource
ISBN:9789811956034