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Energy trading and risk management : commentary on arbitrage, risk measurement, and hedging strategy / Tadahiro Nakajima, Shigeyuki Hamori.

9789811956034 (electronic bk.)
9811956030 (electronic bk.)
9811956022
9789811956027

Singapore : Springer, 2022.

English

1 online resource : illustrations (black and white, and color).

10.1007/978-981-19-5603-4 doi

HD9502.A2

333.790681

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.

Includes bibliographical references and index.

Access limited to authorized users.

Description based on print version record.

Kobe University monograph series in social science research.

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