Calibration of temperature futures by changing the mean reversion
Fred Espen Benth and Salvador Ortiz-Latorre
| Year of publication: |
2017
|
|---|---|
| Authors: | Benth, Fred Espen ; Ortiz-Latorre, Salvador |
| Published in: |
The journal of energy markets. - London : Infopro Digital, ISSN 1756-3607, ZDB-ID 2428804-4. - Vol. 10.2017, 1, p. 1-25
|
| Subject: | temperature futures | pricing measure | mean reversion | continuous-time autoregressive (CAR) processes | half-life | Mean Reversion | Mean reversion | Zeitreihenanalyse | Time series analysis | Derivat | Derivative | Theorie | Theory | Wetter | Weather |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JEM.2017.157 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011999391