Muutke küpsiste eelistusi

E-raamat: Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy

,
Teised raamatud teemal:
  • Formaat - EPUB+DRM
  • Hind: 122,88 €*
  • * hind on lõplik, st. muud allahindlused enam ei rakendu
  • Lisa ostukorvi
  • Lisa soovinimekirja
  • See e-raamat on mõeldud ainult isiklikuks kasutamiseks. E-raamatuid ei saa tagastada.
Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging StrategySuurem pilt

DRM piirangud

  • Kopeerimine (copy/paste):

    ei ole lubatud

  • Printimine:

    ei ole lubatud

  • Kasutamine:

    Digitaalõiguste kaitse (DRM)
    Kirjastus on väljastanud selle e-raamatu krüpteeritud kujul, mis tähendab, et selle lugemiseks peate installeerima spetsiaalse tarkvara. Samuti peate looma endale  Adobe ID Rohkem infot siin. E-raamatut saab lugeda 1 kasutaja ning alla laadida kuni 6'de seadmesse (kõik autoriseeritud sama Adobe ID-ga).

    Vajalik tarkvara
    Mobiilsetes seadmetes (telefon või tahvelarvuti) lugemiseks peate installeerima selle tasuta rakenduse: PocketBook Reader (iOS / Android)

    PC või Mac seadmes lugemiseks peate installima Adobe Digital Editionsi (Seeon tasuta rakendus spetsiaalselt e-raamatute lugemiseks. Seda ei tohi segamini ajada Adober Reader'iga, mis tõenäoliselt on juba teie arvutisse installeeritud )

    Seda e-raamatut ei saa lugeda Amazon Kindle's. 

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.

1 Preface
1(4)
References
3(2)
2 Arbitrage Trading in Energy Markets and Measuring Its Risk
5(48)
2.1 Introduction
5(2)
2.2 Data and Preliminary Analyses
7(13)
2.2.1 Descriptive Statistics
7(5)
2.2.2 Stationary and Unit Root Test
12(4)
2.2.3 Cointegration Test
16(4)
2.2.4 Long-Term Equilibrium Estimation
20(1)
2.3 Trading Strategies
20(4)
2.3.1 Arbitrage Between Own Spot Spread and Future Spread
22(1)
2.3.2 Statistical Arbitrage
23(1)
2.4 Simulation Results
24(4)
2.5 Risk Measurement in Statistical Arbitrage
28(16)
2.5.1 Value-At-Risk and Expected Shortfall
29(2)
2.5.2 Copula
31(10)
2.5.3 Copula Estimation and Risk Measurement
41(3)
2.6 Concluding Remarks
44(5)
References
49(4)
3 Fuel Market Connectedness and Fuel Portfolio Risk
53(32)
3.1 Introduction
53(1)
3.2 Data
54(3)
3.2.1 Crude Oil
55(1)
3.2.2 Natural Gas
56(1)
3.3 Methodology
57(5)
3.3.1 Connectedness Index (Diebold and Yilmaz [ 4])
58(2)
3.3.2 Spectral Decomposition (Barunik and Krehlik [ 1])
60(1)
3.3.3 EGARCH Volatility Series Estimation
61(1)
3.4 Analysis Results
62(19)
3.4.1 Crude Oil
63(8)
3.4.2 Natural Gas
71(10)
3.5 Concluding Remarks
81(2)
References
83(2)
4 Hedging Strategy with Futures Contracts
85(20)
4.1 Introduction
85(2)
4.2 Data
87(2)
4.3 Optimal Hedge Ratio and Hedge Effectiveness
89(1)
4.4 Multivariate GARCH Model
90(4)
4.4.1 Diagonal VECH Model
91(1)
4.4.2 Diagonal BEKK Model
92(1)
4.4.3 CCC Model
93(1)
4.5 Analysis Results
94(8)
4.5.1 HH Market
94(4)
4.5.2 NBP Market
98(4)
4.6 Concluding Remarks
102(2)
References
104(1)
5 Market Risk of a Power Generation Business
105(18)
5.1 Introduction
105(2)
5.2 Methodology
107(1)
5.3 Data and Preliminary Analyses
107(7)
5.3.1 Price Series
107(1)
5.3.2 Return Series
108(2)
5.3.3 Volatility Series
110(4)
5.4 Analysis Results
114(5)
5.4.1 Return Series
114(1)
5.4.2 Volatility Series
115(4)
5.4.3 Risk Measurement
119(1)
5.5 Concluding Remarks
119(3)
References
122(1)
6 Alternative to Postface: Market Risk Transfer in Power Companies
123(8)
References
129(2)
Index 131
Dr. Shigeyuki Hamori is a Professor of Economics at Kobe University in Japan. He received a Ph.D. from Duke University. He is the President of the International Research Institute for Economics and Management, the Distinguished Fellow of the International Engineering and Technology Institute (DFIETI), and the Distinguished Fellow of the Institute of Data Science and Artificial Intelligence (DFIDSAI). His main research interests are applied time series analysis, empirical finance, data science, and international finance. He is the Co-Editor of the Singapore Economic Review, the Associate Editor of the International Review of Financial Analysis, and the Associated Editor of the Eurasian Economic Review. He served as the Editor of special issues of various journals such as  Frontiers in Environmental Science, Energies, Emerging Market Finance and Trade, and Journal of Risk and Financial Management. He has published about 250 articles in international peer-reviewed journals and 20books from Springer, Routledge, World Scientific, etc.





 





Dr. Tadahiro Nakajima is a senior researcher at the Kansai Electric Power Company, Incorporated. He received a Ph.D. from Kobe University. He revceived the Highly Commended Paper of the Studies in Economic and Finance Literati Award  (Emeral Publishing).  His main research interests are applied time series analysis, energy economics and energy markets. He has published about 20 articles in international peer-reviewes journals and a book from Springer.





 
Lisainfo e-raamatute kohta Lisainfo e-raamatute kohta
Püsilink: https://www.kriso.ee/db/97898119560346e.html
Märksõnad: