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Titlebook: Energy Trading and Risk Management; Commentary on Arbitr Tadahiro Nakajima,Shigeyuki Hamori Book 2022 The Editor(s) (if applicable) and The

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書(shū)目名稱Energy Trading and Risk Management
副標(biāo)題Commentary on Arbitr
編輯Tadahiro Nakajima,Shigeyuki Hamori
視頻videohttp://file.papertrans.cn/311/310455/310455.mp4
概述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
叢書(shū)名稱Kobe University Monograph Series in Social Science Research
圖書(shū)封面Titlebook: Energy Trading and Risk Management; Commentary on Arbitr Tadahiro Nakajima,Shigeyuki Hamori Book 2022 The Editor(s) (if applicable) and The
描述.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..
出版日期Book 2022
關(guān)鍵詞Energy market; Energy trading; Risk management; Risk measurement; Arbitrage; Spillover effect; Copula; VaR
版次1
doihttps://doi.org/10.1007/978-981-19-5603-4
isbn_softcover978-981-19-5605-8
isbn_ebook978-981-19-5603-4Series ISSN 2524-504X Series E-ISSN 2524-5058
issn_series 2524-504X
copyrightThe Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Singapor
The information of publication is updating

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Hedging Strategy with Futures Contracts,he volatility of the portfolio return, which consists of a spot and its futures, defined as the optimal hedge ratio (OHR), is the covariance of the spot and futures return series divided by the variance of the futures return series. We introduce some multivariate generalized autoregressive condition
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Alternative to Postface: Market Risk Transfer in Power Companies, where the LNG price is linearly linked to the crude oil index price, although it has a lower threshold. Assuming that the business balance is neutral when the contract has no lower threshold, we can interpret this contract as a short position in a crude oil put option. Next, we discuss a power sale
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,Dosisgr??en und Strahlenschutzbegriffe,mating three types of bivariate GARCH models (i.e., the diagonal VECH model, diagonal BEKK model, and constant conditional correlation (CCC) model). The results indicate that the portfolio constructed on the OHR calculated by the diagonal BEKK model has the best hedging effect in the US and UK markets.
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