Exploring the financial risk of a temperature index : a fractional integrated approach
Rosella Castellano, Roy Cerqueti, Giulia Rotundo
| Year of publication: |
2020
|
|---|---|
| Authors: | Castellano, Rosella ; Cerqueti, Roy ; Rotundo, Giulia |
| Published in: |
Annals of operations research ; volume 284, numbers 1 (January 2020). - New York, NY, USA : Springer. - 2020, p. 225-242
|
| Subject: | Hurst exponent | Volatility | Beta distribution | Daily average temperature | Weather derivatives | Volatilität | Derivat | Derivative | Wetter | Weather | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Betafaktor | Beta risk | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-3063-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012165561