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

皮薩

Preface,la, 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 trade.

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ARENA

2524-504X rkets.Reveals the characteristics of energy markets from the.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 prov

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Arbitrage Trading in Energy Markets and Measuring Its Risk,ibution of the futures price returns. The simulation with random numbers after creating the copulas measures the risk of a portfolio consisting of gas futures short positions and power futures long positions held during statistical arbitrage.

Pander

Fuel Market Connectedness and Fuel Portfolio Risk,e stronger than in the selected natural gas markets. The spectral analysis of these connectedness indexes shows that short-term factors primarily explain the spillover effect of returns, while long-term factors primarily explain the spillover effect of volatility. Despite the stronger connectivity o

ORE

Market Risk of a Power Generation Business,expected shortfall are 3.87 and 4.83%, respectively. The sudden withdrawal of the electric power business has a great impact on the economy. Therefore, this should not occur. The government should establish a method for measuring the market risk of power companies and regulate their accounting allow

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2524-504X oving average (VMA) models, connectedness, and frequency decomposition. This book is suitable for people interested in the empirical study of energy markets and energy trade..978-981-19-5605-8978-981-19-5603-4Series ISSN 2524-504X Series E-ISSN 2524-5058

揮舞

Book 2022ula, 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..

PHON

Wechselwirkung schwerer geladener Teilchen,ibution of the futures price returns. The simulation with random numbers after creating the copulas measures the risk of a portfolio consisting of gas futures short positions and power futures long positions held during statistical arbitrage.