Energy Trading and Risk Management Commentary on Arbitrage, Risk Measurement, and Hedging Strategy
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, a...
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| Otros Autores: | , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Singapore :
Springer Nature Singapore
2022.
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| Edición: | 1st ed |
| Colección: | Springer eBooks.
Kobe University Monograph Series in Social Science Research, |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b47151584*spi |
| Sumario: | 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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| Descripción Física: | XVII, 133 páginas, 58 ilustraciones, 35 ilustraciones (color) |
| Formato: | Forma de acceso: World Wide Web. |
