About: Hedging jet fuel price risk: The case of U.S. passenger airlines

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An Entity of Type : schema:ScholarlyArticle, within Data Space : wasabi.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Hedging jet fuel price risk: The case of U.S. passenger airlines
Creator	Lim, Hoon Turner, Peter
Source	Elsevier; Medline; PMC
abstract	Abstract Jet fuel accounts for a large portion of passenger airlines' operating costs, and airlines' earnings are susceptible to swings in the price of jet fuel. This study uses daily data over the past two decades to determine the minimum variance hedge ratio for airlines wishing to hedge jet fuel price risk with futures, while also establishing the best cross hedging asset. Airlines hedging with futures would create the most effective hedge by using heating oil futures contracts with a 3-month maturity. We also find that beyond the 3-month veil, increased time to maturity makes heating oil less effective as a cross hedge proxy for jet fuel. However, both in-sample analysis and Monte Carlo simulation results with daily data show that none of the 4 cross hedge proxies, including heating oil, can be considered highly effective.
has issue date	2015-06-30(xsd:dateTime)
bibo:doi	10.1016/j.jairtraman.2015.02.007
bibo:pmid	32572320
has license	els-covid
sha1sum (hex)	0484e4215cfa429cd4f13bfd9c6c58fa49b3aca4
schema:url	https://doi.org/10.1016/j.jairtraman.2015.02.007
resource representing a document's title	Hedging jet fuel price risk: The case of U.S. passenger airlines
has PubMed Central identifier	PMC7147842
has PubMed identifier	32572320
schema:publication	Journal of Air Transport Management
resource representing a document's body	covid:0484e4215cfa429cd4f13bfd9c6c58fa49b3aca4#body_text
is schema:about of	named entity 'OIL' named entity 'USES' named entity 'PRICE' named entity 'COSTS' named entity 'STUDY' named entity 'OPERATING' named entity 'CONSIDERED' named entity 'VARIANCE' named entity 'INCREASED TIME' named entity 'CONTRACTS' named entity 'MONTE CARLO SIMULATION' named entity 'HIGHLY' named entity 'MATURITY' named entity 'RATIO' named entity 'LARGE' named entity 'RISK' named entity 'PASSENGER' named entity 'CASE' named entity 'MONTH' named entity 'PORTION' named entity 'RESULTS' named entity 'FUTURES' named entity 'ESTABLISHING' named entity 'U.S.' named entity 'CROSS' named entity 'RISK' named entity 'ASSET' named entity 'HEATING' named entity 'USING' named entity 'EARNINGS' named entity 'JET FUEL' named entity 'PRICE' named entity 'DAILY' named entity 'DATA' named entity 'DETERMINE' named entity 'CREATE' named entity 'PROXY' named entity 'PASSENGER' named entity 'BEST' named entity 'EFFECTIVE' named entity 'SAMPLE ANALYSIS' named entity 'PAST' named entity 'BEYOND' named entity 'HEDGE' named entity 'JET FUEL' named entity 'VEIL' named entity 'MINIMUM' named entity 'SUSCEPTIBLE' named entity 'INCLUDING' covid:arg/0484e4215cfa429cd4f13bfd9c6c58fa49b3aca4 named entity 'heating oil' named entity 'hedging' named entity 'jet fuel' named entity 'Jet fuel' named entity 'unit root' named entity 'WTI' named entity 'ECM' named entity 'commodities' named entity 'hedging' named entity 'U.S.' named entity 'jet fuel' named entity 'hedging' named entity 'hedging' named entity 'Monte Carlo simulations' named entity 'hedge accounting' named entity 'gasoil' named entity 'stationary process' named entity 'jet fuel prices' named entity 'gasoil' named entity 'heteroskedastic' named entity 'United Airlines' named entity 'error term' named entity 'GARCH' named entity 'spot price' named entity 'Gulf Coast' named entity 'time series' named entity 'Securities and Exchange Commission' named entity 'heteroskedasticity' named entity 'heating oil' named entity 'gasoil'

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