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Conditional dependence between oil prices and exchange rates in BRICS countries : an application of the copula-GARCH model
He, Yijin; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 12 (2019) 2/99, pp. 1-25
We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant dependence, and we captured the dynamic dependence...
Persistent link: https://www.econbiz.de/10012021992
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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. 371-386
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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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.
Persistent link: https://www.econbiz.de/10013431279
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The impact of economic uncertainty caused by COVID-19 on renewable energy stocks
Liu, Tiantian; Nakajima, Tadahiro; Hamori, Shigeyuki - In: Empirical economics : a quarterly journal of the … 62 (2022) 4, pp. 1495-1515
Persistent link: https://www.econbiz.de/10013197236
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Conditional dependence between oil prices and exchange rates in BRICS countries: An application of the copula-GARCH model
He, Yijin; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-25
We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant dependence, and we captured the dynamic dependence...
Persistent link: https://www.econbiz.de/10012611099
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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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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. 371-387
Persistent link: https://www.econbiz.de/10009976854