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Energy Trading and Risk Management = Commentary on Arbitrage, Risk Measurement, and Hedging Strategy /
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Energy Trading and Risk Management/ by Tadahiro Nakajima, Shigeyuki Hamori.
其他題名:
Commentary on Arbitrage, Risk Measurement, and Hedging Strategy /
作者:
Nakajima, Tadahiro.
其他作者:
Hamori, Shigeyuki.
面頁冊數:
XVII, 133 p. 58 illus., 35 illus. in color.online resource. :
Contained By:
Springer Nature eBook
標題:
Natural Resource and Energy Economics. -
電子資源:
https://doi.org/10.1007/978-981-19-5603-4
ISBN:
9789811956034
Energy Trading and Risk Management = Commentary on Arbitrage, Risk Measurement, and Hedging Strategy /
Nakajima, Tadahiro.
Energy Trading and Risk Management
Commentary on Arbitrage, Risk Measurement, and Hedging Strategy /[electronic resource] :by Tadahiro Nakajima, Shigeyuki Hamori. - 1st ed. 2022. - XVII, 133 p. 58 illus., 35 illus. in color.online resource. - Kobe University Monograph Series in Social Science Research,2524-5058. - Kobe University Monograph Series in Social Science Research,.
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 and energy trade.
ISBN: 9789811956034
Standard No.: 10.1007/978-981-19-5603-4doiSubjects--Topical Terms:
1113585
Natural Resource and Energy Economics.
LC Class. No.: HB139-141
Dewey Class. No.: 330.015195
Energy Trading and Risk Management = Commentary on Arbitrage, Risk Measurement, and Hedging Strategy /
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