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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

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

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

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

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

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

Nakajima, Tadahiro; Hamori, Shigeyuki - 2022

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.