Energy Trading and Risk Management

Energy Trading and Risk Management

by Tadahiro Nakajima and Shigeyuki Hamori
Epub (Kobo), Epub (Adobe)
Publication Date: 05/12/2022

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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
9789811956034
Category:
Econometrics
Format:
Epub (Kobo), Epub (Adobe)
Publication Date:
05-12-2022
Language:
English
Publisher:
Springer Nature Singapore

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