Erhältlich:
Nicht auf Lager
Buch (Hardcover): Fachbuch
Energy Trading and Risk Management
Commentary on Arbitrage, Risk Measurement, and Hedging Strategy
Verlag:
Springer Verlag Unsere-Artikel-Nr.: ZKREGL3
EAN: 9789811956027
Erhältlich:
Nicht auf Lager
Zustellung: Mi, 28.10.2026
Versand: Kostenlos
-12.4 %
CHF 146.–
CHF 127.96
Beschreibung
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.
Spezifikationen
Sprache
- Englisch
Autor
- Shigeyuki Hamori
- Tadahiro Nakajima
Kollektion
- Kobe University Monograph Series in Social Science Research
Erscheinungsjahr
- 2022
Erscheinungsland
- Singapur
Format
- Buch (Hardcover)
Anzahl Seiten
- 152