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Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy: Kobe University Monograph Series in Social Science Research

Autor Tadahiro Nakajima, Shigeyuki Hamori
en Limba Engleză Paperback – 5 noi 2023
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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Specificații

ISBN-13: 9789811956058
ISBN-10: 9811956057
Pagini: 133
Ilustrații: XVII, 133 p. 58 illus., 35 illus. in color.
Dimensiuni: 155 x 235 mm
Ediția:1st ed. 2022
Editura: Springer Nature Singapore
Colecția Springer
Seria Kobe University Monograph Series in Social Science Research

Locul publicării:Singapore, Singapore

Cuprins

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.

Notă biografică

Dr. Shigeyuki Hamori is a Professor of Economics at Kobe University in Japan. He received a Ph.D. from Duke University. He is the President of the International Research Institute for Economics and Management, the Distinguished Fellow of the International Engineering and Technology Institute (DFIETI), and the Distinguished Fellow of the Institute of Data Science and Artificial Intelligence (DFIDSAI). His main research interests are applied time series analysis, empirical finance, data science, and international finance. He is the Co-Editor of the Singapore Economic Review, the Associate Editor of the International Review of Financial Analysis, and the Associated Editor of the Eurasian Economic Review. He served as the Editor of special issues of various journals such as  Frontiers in Environmental Science, Energies, Emerging Market Finance and Trade, and Journal of Risk and Financial Management. He has published about 250 articles in international peer-reviewed journals and 20books from Springer, Routledge, World Scientific, etc.
 
Dr. Tadahiro Nakajima is a senior researcher at the Kansai Electric Power Company, Incorporated. He received a Ph.D. from Kobe University. He revceived the Highly Commended Paper of the Studies in Economic and Finance – Literati Award  (Emeral Publishing).  His main research interests are applied time series analysis, energy economics and energy markets. He has published about 20 articles in international peer-reviewes journals and a book from Springer.  


Textul de pe ultima copertă

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.

Caracteristici

Provides the advanced analysis techniques cultivated in financial markets Introduce the cases of applying these methods to various energy markets Reveals the characteristics of energy markets from the perspective of energy trading and risk management