This article examines the performance of three multivariate conditional volatility models with respect to crude oil spot and futures returns: the Dynamic Conditional Correlation (DCC) model, Asymmetric Dynamic Conditional Correlation (A-DCC) model and Diagonal Baba-Engle-Kraft-Kroner (Diagonal...

We apply the lag-augmented vector autoregression technique to test the Granger-causal relationships among wholesale electricity prices, natural gas prices, and crude oil prices. In addition, by adopting a cross-correlation function approach, we test not only the causality in mean but also the...

Chapter 1. ESG investment (by Tadahiro Nakajima) -- Chapter 2. Does ESG index have strong conditional correlations with sustainability related stock indices? (by Wenting Zhang, Tadahiro Nakajima, and Shigeyuki Hamori) -- Chapter 3. Measuring Tail dependencies Between ESG and Renewable Energy...

Introduction -- Arbitrage Trading in Energy Market and Risk Measurement -- Fuel Markets Connectedness and Fuel Portfolio Risk -- Hedging Strategy with Futures Contracts -- Investing in a portfolio consisting of energies and related commodities.

This study examines whether the spot prices in the Japan Electric Power Exchange are efficiently formed from April 3, 2006, to March 31, 2012, using the conventional and rank-based variance-ratio tests. The results seem to reject the efficient market hypothesis in the market. Moreover, by...

Purpose: The purpose of this paper is twofold. First, the paper examines the risk transmission between crude oil and petroleum product prices of Japan’s oil futures market. Second, it compares the performance of two tests for Granger causality using realized variance (RV) and the exponential...

This paper examines the residential demand for electricity in Japan, excluding Okinawa-prefecture, from 1975 to 2005 as a function of the disposable income per household and the overall unit price of electricity for general consumers, by using the empirical panel analysis techniques of a panel...