英文标题：
《Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating
  Futures Market Realized Volatility》
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作者：
Michael Weylandt and Yu Han and Katherine B. Ensor
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最新提交年份：
2019
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英文摘要：
  Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for different points of delivery hubs. Certain hubs support highly liquid markets, allowing efficient and robust price discovery, while others are highly illiquid, limiting the effectiveness of standard risk management techniques. We propose a joint modeling strategy, which uses high-frequency information from thickly-traded hubs to improve volatility estimation and risk management at thinly traded hubs. The resulting model has superior in- and out-of-sample predictive performance, particularly for several commonly used risk management metrics, demonstrating that joint modeling is indeed possible and useful. To improve estimation, a Bayesian estimation strategy is employed and data-driven weakly informative priors are suggested. Our model is robust to sparse data and can be effectively used in any market with similar irregular patterns of data availability.
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中文摘要：
液化天然气（LNG）金融市场是大宗商品市场中一个重要且增长迅速的细分市场。与其他大宗商品市场一样，液化天然气市场具有固有的空间结构，不同的交付点枢纽具有不同的价格动态。某些中心支持高流动性市场，允许高效和稳健的价格发现，而其他中心则高度缺乏流动性，限制了标准风险管理技术的有效性。我们提出了一种联合建模策略，该策略使用交易量大的中心的高频信息来改进交易量小的中心的波动率估计和风险管理。结果模型具有优异的样本内和样本外预测性能，尤其是对于几种常用的风险管理指标，表明联合建模确实可行且有用。为了改进估计，采用了贝叶斯估计策略，并提出了数据驱动的弱信息先验。我们的模型对稀疏数据具有鲁棒性，可以有效地用于任何具有类似不规则数据可用性模式的市场。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Statistics        统计学
二级分类：Applications        应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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