Bøger af Shigeyuki Hamori

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.

Includes traditional elements of financial econometrics but is not yet another volume in econometrics. Discusses statistical and probability techniques commonly used in quantitative finance. The reader will be able to explore more complex structures without getting inundated with the underlying mathematics.

An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e.

This book offers insight into international trade and foreign direct investment competitiveness in Africa. It examines two policies frequently used to enhance international competitiveness in Sub-Saharan African economies: exchange rate policy and productivity-related policy.

Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. The main aim of Hidden Markov Models: Applications to Financial Economics is to make such techniques available to more researchers in financial economics.

This book studies some important issues in China's labor market, such as rural labor migration, employment and wage discrimination, the new dual labor market, and economic returns on schooling, using the newer and representative data and advanced estimation models.