Takashi Kanamura

Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)

1, Yoshida-Nakaadachi-cho, Sakyo-ku,

Kyoto , 606-8306

Japan

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 16,689

SSRN RANKINGS

Top 16,689

in Total Papers Downloads

3,492

SSRN CITATIONS
Rank 41,519

SSRN RANKINGS

Top 41,519

in Total Papers Citations

7

CROSSREF CITATIONS

10

Scholarly Papers (17)

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 526 (62,786)
Citation 9

Abstract:

Loading...

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

2.

Convenience Yield-Based Pricing of Commodity Futures

Number of pages: 21 Posted: 11 Feb 2009 Last Revised: 19 Jul 2010
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 524 (63,080)

Abstract:

Loading...

Convenience Yield, Stochastic Discount Factor, Incomplete Markets, Commodity Futures

3.

A Supply and Demand Based Volatility Model for Energy Prices - the Relationship between Supply Curve Shape and Volatility

Number of pages: 33 Posted: 29 Aug 2006
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 399 (87,648)
Citation 1

Abstract:

Loading...

Energy prices, volatility, supply curve, inverse Box-Cox transformation, inverse leverage effect, volatility-in-mean effect

4.

A Classification Study of Carbon Assets into Commodities

Number of pages: 22 Posted: 25 Jan 2009
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 393 (89,209)
Citation 5

Abstract:

Loading...

Carbon markets, EU-ETS, futures prices, convenience yield, commodities, mean reversion, seasonality, dynamic conditional correlation, volatility smile

5.

Market Risk, Credit Risk, and Futures Trading in Commodity Markets

Number of pages: 27 Posted: 13 May 2012
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 301 (120,267)

Abstract:

Loading...

convenience yield, stochastic volatility, commodity futures trading

6.

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 285 (127,236)

Abstract:

Loading...

Electricity, Price Spikes, Transition probabilities

7.

A Supply and Demand Based Price Model for Financial Assets

Number of pages: 36 Posted: 02 Jul 2011
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 283 (128,195)
Citation 1

Abstract:

Loading...

Security prices, volatility, demand curve, inverse Box-Cox transformation, asymmetric volatility, volatility-in-mean effect

8.

Monitoring the Upsurge of Biofuels in Commodity Futures Markets

Number of pages: 24 Posted: 28 Oct 2008
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 247 (147,290)
Citation 1

Abstract:

Loading...

Energy, agriculture, commodity futures, dynamic conditional correlation, biofuel, diesel, ethanol, pairs trading

A Structural Linkage Model for Freight Rates

Number of pages: 33 Posted: 11 Dec 2011 Last Revised: 24 May 2013
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 128 (262,688)

Abstract:

Loading...

Freight markets, supply and demand, Capesize and Panamax vessels

A Structural Linkage Model for Freight Rates

Journal of Energy Markets, Vol. 7, No. 3, 2014
Number of pages: 16 Posted: 06 Jun 2016
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 0
  • Add to Cart

Abstract:

Loading...

freight rates, Panamax markets

10.

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 127 (263,302)

Abstract:

Loading...

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

11.

A Financialization Model of Crude Oil Markets

Number of pages: 21 Posted: 09 Jan 2016
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 94 (324,380)
Citation 1

Abstract:

Loading...

12.

A Model of Price Correlations between Clean Energy Indices and Energy Commodities

Number of pages: 50 Posted: 06 Jun 2019
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 69 (389,022)

Abstract:

Loading...

Renewables, fossil fuels, correlation, volatility, leverage effect, market risk

13.

Dynamic Price Linkage and Volatility Structure between Carbon Markets

Number of pages: 32 Posted: 29 Sep 2012
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 64 (404,617)

Abstract:

Loading...

EUA, sCER, spot and futures markets, correlation, volatility, contagion, leverage effect

14.

Supply-Side Perspective for Carbon Pricing

Number of pages: 22 Posted: 26 Jan 2017
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 52 (446,545)

Abstract:

Loading...

EUA Market, Brent Crude Oil Market, Crude Oil-Linked Carbon Price Model

15.

Financial Turmoil in Carbon Markets

Posted: 21 May 2019
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)

Abstract:

Loading...

EUA, FTSE 100, DAX, Futures, Dynamic Conditional Correlation, Contagion

16.

Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power

The Journal of Alternative Investments, Summer 2020; DOI: https://doi.org/10.3905/jai.2020.1.099
Posted: 10 Feb 2019
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)

Abstract:

Loading...

Solar Power, Weather Risk, Temperature Model, Basis Risk, Good-Deal Bounds

17.

An Operational Risk-Based Regime-Switching Model for Stock Prices

Journal of Operational Risk 12(3), 1–15, DOI:10.21314/JOP.2017.193
Number of pages: 15 Posted: 23 Aug 2017
Takashi Kanamura
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)
Downloads 0 (773,300)
  • Add to Cart

Abstract:

Loading...

asset pricing, operational risk, regime-switching model, volatility, mean reversion