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Combined effects of load factors and booking time on fares : insights from the yield management of a low-cost airline

Alderighi, Marco; Nicolini, Marcella; Piga, Claudio A. - 2012

Based on two strands of theoretical research, this paper provides new evidence on how fares are jointly affected by in-flight seat availability and purchasing date. As capacity-driven theories predict, it emerges that fares monotonically and substantially increase with the flights occupancy...

Persistent link: https://www.econbiz.de/10009535560

Crude oil hedging strategies using dynamic multivariate GARCH

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008669351

Exchange rate and industrial commodity volatility transmissions, asymmetries and hedging strategies

Hammoudeh, Shawkat; Yuan, Yuan; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008689068

Gold and financial assets : are there any safe havens in bear markets?

Coudert, Virginie; Raymond, Hélène - 2010

Persistent link: https://www.econbiz.de/10003996358

Negative correlation between stock and futures returns : an unexploited hedging opportunity?

Basu, Parantap; Gavin, William T. - 2011

For over a decade, academic and industry economists argued that the negative correlation between returns on stocks and commodity futures was evidence that institutional investors should add commodity futures index funds as an asset class in their portfolio management strategies. Does this...

Persistent link: https://www.econbiz.de/10008840951

Pricing and hedging illiquid energy derivatives : an application to the JCC index

Scarpa, Elisa (contributor); Manera, Matteo (contributor) - 2006

Persistent link: https://www.econbiz.de/10003605624

Invoicing currency, firm size, and hedging

Martin, Julien; Méjean, Isabelle - 2012

Persistent link: https://www.econbiz.de/10009665283

External capital structures and oil price volatility

Burger, John D.; Rebucci, Alessandro; Warnock, Francis E.; … - 2010

This paper assesses the extent to which a country s external capital structure can aid in mitigating the macroeconomic impact of oil price shocks. Two Caribbean economies highly vulnerable to oil price shocks are considered: an oil importer (Jamaica) and an oil exporter (Trinidad and Tobago)....

Persistent link: https://www.econbiz.de/10010247919

The effects of margin changes on commodity futures markets

Daskalaki, Charoula; Skiadopoulos, George - 2014 - This draft: 24 October 2014

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...

Persistent link: https://www.econbiz.de/10010472794

European natural gas seasonal effects on futures hedging

Martínez, Beatriz; Torró, Hipòlit - 2015

This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF … that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …

Persistent link: https://www.econbiz.de/10010479020

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