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Energy trading and risk management =...

Nakajima, Tadahiro.

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Energy trading and risk management = commentary on arbitrage, risk measurement, and hedging strategy /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Energy trading and risk management/ by Tadahiro Nakajima, Shigeyuki Hamori.
Reminder of title:	commentary on arbitrage, risk measurement, and hedging strategy /
Author:	Nakajima, Tadahiro.
other author:	Hamori, Shigeyuki.
Published:	Singapore :Springer Nature Singapore : : 2022.,
Description:	xvii, 133 p. :ill., digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer Nature eBook
Subject:	Energy industries - Risk management. -
Online resource:	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 managementcommentary on arbitrage, risk measurement, and hedging strategy /[electronic resource] :by Tadahiro Nakajima, Shigeyuki Hamori. - Singapore :Springer Nature Singapore :2022. - xvii, 133 p. :ill., digital ;24 cm. - 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:

824364
Energy industries
--Risk management.

LC Class. No.: HD9502.A2

Dewey Class. No.: 333.790681

Energy trading and risk management = commentary on arbitrage, risk measurement, and hedging strategy /
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490 1 $a Kobe University monograph series in social science research, $x 2524-5058
505 0 $a 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.
520 $a 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.
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