Kazuhiko Ohashi

Hitotsubashi University

SCHOLARLY PAPERS

14

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58

CROSSREF CITATIONS

16

Scholarly Papers (14)

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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
Downloads 594 (89,413)
Citation 12

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

2.

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

Downloads 536 (101,795)
Citation 7

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: 03 Aug 2018
Arun Muralidhar, Kazuhiko Ohashi and Sung Hwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University and Korea Fixed Income Research Institute
Downloads 373 (154,445)
Citation 4

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

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

Journal of Financial Perspectives, Vol. 3, No. 1, 2015
Number of pages: 32 Posted: 04 Dec 2017 Last Revised: 27 Jul 2018
Arun Muralidhar, Kazuhiko Ohashi and Sunghwan Shin
AlphaEngine Global Investment Solutions, Hitotsubashi University and Hongik University
Downloads 163 (350,504)

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3.

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 and Hitotsubashi University
Downloads 481 (115,989)
Citation 1

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co-integration, commodity prices, convenience yield, energy

4.

On Transition Probabilities of Regime-Switching in Electricity Prices

Number of pages: 24 Posted: 04 Dec 2004
Kazuhiko Ohashi and Takashi Kanamura
Hitotsubashi University and Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 319 (184,298)
Citation 1

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Electricity, Price Spikes, Transition probabilities

5.

Increasing Trends in the Excess Comovement of Commodity Prices

Downloads 236 (250,359)
Citation 8

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 and Crawford School of Public Policy, Australian National University
Downloads 112 (473,411)

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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 and Australian National University
Downloads 74 (621,774)
Citation 1

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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 and Australian National University
Downloads 50 (757,207)
Citation 7

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

6.

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 and Korea Fixed Income Research Institute
Downloads 209 (280,809)
Citation 4

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

7.

When Should a Cat Index Futures Be Created?

Number of pages: 29 Posted: 23 Jun 2003
Kazuhiko Ohashi
Hitotsubashi University
Downloads 194 (300,620)
Citation 1

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security design, CAT index futures, asymmetric information

8.

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
Downloads 166 (345,232)
Citation 1

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

9.

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 and Korea Fixed Income Research Institute
Downloads 154 (367,622)

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CAPM, RAPM, LDI

10.

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 and Korea Fixed Income Research Institute
Downloads 148 (379,861)

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relative asset pricing model, asset pricing theory

11.

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 and Korea Fixed Income Research Institute
Downloads 139 (399,174)
Citation 3

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

12.

Commodity Spread Option with Cointegration

Number of pages: 57 Posted: 09 May 2015
Katsushi Nakajima and Kazuhiko Ohashi
Ritsumeikan Asia Pacific University and Hitotsubashi University
Downloads 126 (430,769)

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

13.

Seasonality in the Impact of Solar Power Generation on the Electricity Price Level and Variability

Number of pages: 32 Posted: 18 Feb 2023
Nobuhiro Fuke, Kazuhiko Ohashi and Kazuhiko Ohashi
Kobe University, Hitotsubashi University and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 34 (856,268)

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Electricity prices, Solar power generation, Seasonality, Price variability, Merit-order effect, Quantile regression

14.

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

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

Other Papers (4)

Total Downloads: 138
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1.

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
Downloads 54

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

2.

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
Downloads 33

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

3.

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
Downloads 29

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

4.

Increasing Trends in the Excess Comovement of Commodity Prices

Number of pages: 27 Posted: 26 Jan 2013
Kazuhiko Ohashi and Tatsuyoshi Okimoto
Hitotsubashi University and Crawford School of Public Policy, Australian National University
Downloads 22

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Smooth transition model, DCC model, Time-varying correlation