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Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets

Kanamura, Takashi - In: Energy economics 54 (2016), pp. 204-212

Persistent link: https://www.econbiz.de/10011662814

An operational risk-based regime-switching model for stock prices

Kanamura, Takashi - In: The journal of operational risk 12 (2017) 3, pp. 1-15

Persistent link: https://www.econbiz.de/10011848822

Are green bonds environmentally friendly and good performing assets?

Kanamura, Takashi - In: Energy economics 88 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012516763

An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks

Kanamura, Takashi - In: Financial innovation : FIN 9 (2023) 1, pp. 1-51

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US, taking into account the role of stock markets. The first model is a direct impact model of COVID-19 on hotel stock...

Persistent link: https://www.econbiz.de/10014289130

A model of price correlations between clean energy indices and energy commodities

Kanamura, Takashi - In: Journal of sustainable finance & investment 12 (2022) 2, pp. 319-359

Persistent link: https://www.econbiz.de/10013177366

Timing differences in the impact of Covid-19 on price volatility between assets

Kanamura, Takashi - In: Finance research letters 46 (2022) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10013341777

A supply and demand based volatility model for energy prices

Kanamura, Takashi - In: Energy economics 31 (2009) 5, pp. 736-747

Persistent link: https://www.econbiz.de/10003880268

Increasing trends in the excess comovement of commodity prices

Ōhashi, Kazuhiko; Okimoto, Tatsuyoshi - 2016

Persistent link: https://www.econbiz.de/10011757955

Dynamic relation between volatility risk premia of stock and oil returns

Nakamura, Nobuhiro; Ōhashi, Kazuhiko - 2018

Persistent link: https://www.econbiz.de/10012133500

Dynamic Price Linkage and Volatility Structure between Carbon Markets

Kanamura, Takashi - 2012

This paper investigates the dynamic price linkage and volatility structure between two leading carbon markets of EU allowance (EUA) and secondary certified emission reduction (sCER). We propose a correlation model between EUA and sCER price returns using the marginal abatement cost (MAC) curve...

Persistent link: https://www.econbiz.de/10013100162