Kazuhiko Ohashi

Hitotsubashi University - Graduate School of International Corporate Strategy

Tokyo 101-8439, Chiyoda-ku

Japan

SCHOLARLY PAPERS

13

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CITATIONS
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10

Scholarly Papers (13)

1.

A Structural Model for Electricity Prices with Spikes - Measurement of Jump Risk and Optimal Policies for Hydropower Plant Operation

Hitotsunbashi University ICS Finance Working Paper No. FS-2004-E-02
Number of pages: 36 Posted: 02 Jul 2004
Takashi Kanamura and Kazuhiko Ohashi
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS) and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 492 (45,131)
Citation 5

Abstract:

electricity, price spike, demand/supply, optimal power generation

2.

Cointegrated Commodity Pricing Model

Number of pages: 53 Posted: 22 Jul 2009 Last Revised: 14 Dec 2016
Katsushi Nakajima and Kazuhiko Ohashi
Ritsumeikan Asia Pacific University, College of International Management and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 343 (67,236)
Citation 1

Abstract:

co-integration, commodity prices, convenience yield, energy

3.

On Transition Probabilities of Regime-Switching in Electricity Prices

Number of pages: 24 Posted: 04 Dec 2004
Kazuhiko Ohashi and Takashi Kanamura
Hitotsubashi University - Graduate School of International Corporate Strategy and Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 272 (91,555)
Citation 3

Abstract:

Electricity, Price Spikes, Transition probabilities

4.

The Relative Asset Pricing Model: Implications for Asset Allocation, Rebalancing, and Asset Pricing

Journal of Financial Perspectives, 2014
Number of pages: 14 Posted: 23 Feb 2014 Last Revised: 07 Jul 2017
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 181 (102,504)

Abstract:

CAPM, RAPM, LDI, Fama-French, Prospect Theory, Zero Beta CAPM

5.

When Should a CAT Index Futures be Created?

ISER Discussion Paper No. 576
Number of pages: 29 Posted: 23 Jun 2003
Kazuhiko Ohashi
Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 173 (144,376)
Citation 1

Abstract:

security design, CAT index futures, asymmetric information

Increasing Trends in the Excess Comovement of Commodity Prices

Asian Finance Association (AsianFA) 2014 Conference Paper
Number of pages: 30 Posted: 24 Jan 2014
Kazuhiko Ohashi and Tatsuyoshi Okimoto
Hitotsubashi University - Graduate School of International Corporate Strategy and Crawford School of Public Policy, Australian National University
Downloads 74 (275,922)

Abstract:

commodity; excess comovement; time-varying correlation; smooth transition model; DCC model; financialization

Increasing Trends in the Excess Comovement of Commodity Prices

CAMA Working Paper No. 9/2016
Number of pages: 38 Posted: 15 Feb 2016
Kazuhiko Ohashi and Tatsuyoshi Okimoto
Hitotsubashi University - Graduate School of International Corporate Strategy and Australian National University
Downloads 41 (368,683)

Abstract:

excess comovement, commodity return, time-varying correlation, smooth transition, regime change, financialization

Increasing Trends in the Excess Comovement of Commodity Prices

Journal of Commodity Markets, Vol. 1, No. 1, 2016, AJRC Working Paper 01/2016 April 2016, ISBN 978-0-86413-015-0
Number of pages: 39 Posted: 03 Aug 2017
Kazuhiko Ohashi and Tatsuyoshi Okimoto
Hitotsubashi University - Graduate School of International Corporate Strategy and Australian National University
Downloads 15 (496,651)

Abstract:

Excess comovement, commodity return, time-varying correlation, DCC, smooth transition, regime change, financialization

7.

Pricing Summer Days Options by Good - Deal Bounds

Number of pages: 29 Posted: 20 Nov 2007
Takashi Kanamura and Kazuhiko Ohashi
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS) and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 116 (197,063)

Abstract:

Weather derivatives, Incomplete markets, Good - deal bounds, Summer days

8.

LDI: Does it Turn CAPM into RAPM?

Number of pages: 24 Posted: 04 Feb 2013
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 64 (247,705)

Abstract:

CAPM, RAPM, LDI

9.

Commodity Spread Option with Cointegration

Number of pages: 57 Posted: 09 May 2015
Katsushi Nakajima and Kazuhiko Ohashi
Ritsumeikan Asia Pacific University, College of International Management and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 34 (308,243)

Abstract:

cointegration, commodity prices, convenience yield, energy, spread option.

10.

The Most Basic Missing Instrument in Financial Markets: The Case for Bonds for Financial Security

Journal of Investment Consulting, Vol. 16, No. 2, p. 34-47, 2016
Number of pages: 16 Posted: 07 Feb 2017
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 0 (451,977)

Abstract:

Retirement Security, Inflation-Linked Bonds, Bonds for Financial Security, BFFS

11.

The Most Basic Missing Instrument in Financial Markets: The Case for Forward Starting Bonds

The Journal of Investment Consulting, Volume 17, Number 2, 2016
Number of pages: 16 Posted: 27 Oct 2015 Last Revised: 30 Jan 2017
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 0 (247,705)

Abstract:

Forward Starting Bond, Individual DB, myRA, DC, deferred annuity, RAPM

12.

The Relative Asset Pricing Model: Toward a Unified Theory of Asset Pricing

Journal of Investment Consulting, Vol. 15, No. 1, 51-66, 2014
Number of pages: 18 Posted: 30 Aug 2014 Last Revised: 16 Nov 2015
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University - Graduate School of International Corporate Strategy and Korea Fixed Income Research Institute
Downloads 0 (327,461)

Abstract:

relative asset pricing model, asset pricing theory

13.

The Relative Asset Pricing Model: Towards a Unified Theory of Asset Pricing

Posted: 20 Dec 2013
Arun Muralidhar, Sung Hwan Shin and Kazuhiko Ohashi
AlphaEngine Global Investment Solutions, Korea Fixed Income Research Institute and Hitotsubashi University - Graduate School of International Corporate Strategy

Abstract:

relative asset pricing, liabilities, MPT, Prospect Theory, APT, agency

Other Papers (4)

Total Downloads: 10    Citations: 0
1.

When Is a CAT Index Futures Traded and Preferred to Reinsurance? Trade-Off between Basis Risk and Adverse Selection

Number of pages: 27 Posted: 20 Jan 2017
Kazuhiko Ohashi
Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 0

Abstract:

Insurance-Linked Securities (ILS), Reinsurance, CAT (Catastrophe) Futures and Options, Basis Risk, Adverse Selection

2.

Multiple Lenders, Temporary Debt Restructuring, and Firm Performance: Evidence from Contract-Level Data

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 32 Posted: 02 Feb 2016
Daisuke Miyakawa and Kazuhiko Ohashi
Hitotsubashi University and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 0

Abstract:

Debt restructuring; Number of banks; Firm performance; Evergreening lending

3.

Increasing Trends in the Excess Comovement of Commodity Prices

Number of pages: 27 Posted: 26 Jan 2013
Kazuhiko Ohashi and Tatsuyoshi Okimoto
Hitotsubashi University - Graduate School of International Corporate Strategy and Crawford School of Public Policy, Australian National University
Downloads 0 (186,331)

Abstract:

Smooth transition model, DCC model, Time-varying correlation

4.

Detrimental Effects of Retention Regulation – Incentives of Loan Screening in Securitization Under Asymmetric Information

Number of pages: 26 Posted: 14 Mar 2011
Masazumi Hattori and Kazuhiko Ohashi
Bank of Japan and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 0

Abstract:

securitization, asymmetric information, financial regulation, screening, verification, retention