株式会社極東書店トップ ＞ 商品一覧 ＞ Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy.
商品詳細
Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy. 中島忠博、羽森茂之著 エネルギー取引とリスク管理
・ISBN 978-981-19-5602-7 hard EUR 109.99
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| 著者・編者 | Nakajima, Tadahiro / Hamori, Shigeyuki, |
|---|---|
| シリーズ | Kobe University Monograph Series in Social Science Research |
| 出版社 | (Springer, GW) |
| 出版年月 | 2022.10 |
| ページ数 | 133 pp. |
| 言語 | ENG |
| ニュース番号 | ＜686-304 686-335＞ |
解説
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.