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Crude oil hedging strategy: new evidence from the data of the financial crisis
Toyoshima, Yuki; Nakajima, Tadahiro; Hamori, Shigeyuki - In: Applied Financial Economics 23 (2013) 12, pp. 1033-1041
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...
Persistent link: https://www.econbiz.de/10010690554
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Testing causal relationships between wholesale electricity prices and primary energy prices
Nakajima, Tadahiro; Hamori, Shigeyuki - In: Energy Policy 62 (2013) C, pp. 869-877
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...
Persistent link: https://www.econbiz.de/10010709267
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Crude oil hedging strategy : new evidence from the data of the financial crisis
Toyoshima, Yuki; Nakajima, Tadahiro; Hamori, Shigeyuki - In: Applied financial economics 23 (2013) 10/12, pp. 1033-1041
Persistent link: https://www.econbiz.de/10009772197
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Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen–US dollar exchange rates in Japan
Nakajima, Tadahiro; Hamori, Shigeyuki - In: Research in international business and finance 26 (2012) 3, pp. 371-387
Persistent link: https://www.econbiz.de/10009976854
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Crude oil hedging strategy: new evidence from the data of the financial crisis
Toyoshima, Yuki; Nakajima, Tadahiro; Hamori, Shigeyuki - In: Applied financial economics 23 (2013) 12, pp. 1-1041
Persistent link: https://www.econbiz.de/10010115456
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Change in consumer sensitivity to electricity prices in response to retail deregulation: A panel empirical analysis of the residential demand for electricity in the United States
Nakajima, Tadahiro; Hamori, Shigeyuki - In: Energy policy 38 (2010) 5, pp. 2470-2477
Persistent link: https://www.econbiz.de/10008390064
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Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen-US dollar exchange rates in Japan
Nakajima, Tadahiro; Hamori, Shigeyuki - In: Research in international business and finance 26 (2012) 3, pp. 371-386
Persistent link: https://www.econbiz.de/10009615925
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Oil, gas, or financial conditions-which one has a stronger link with growth?
Zhang, Yulian; He, Xie; Nakajima, Tadahiro; Hamori, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012664020
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ESG Investment in the Global Economy
Nakajima, Tadahiro; Hamori, Shigeyuki; He, Xie; Liu, Guizhou - 2021 - 1st ed. 2021.
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...
Persistent link: https://www.econbiz.de/10012596933
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Can BRICS's currency be a hedge or a safe haven for energy portfolio? : an evidence from vine copula approach
He, Yijin; Nakajima, Tadahiro; Hamori, Shigeyuki - In: The Singapore economic review : journal of the Economic … 65 (2020) 4, pp. 805-836
Persistent link: https://www.econbiz.de/10012509267