Exploring the financial risk of a temperature index : a fractional integrated approach
Year of publication: |
2020
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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
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Subject: | Hurst exponent | Volatility | Beta distribution | Daily average temperature | Weather derivatives | Volatilität | Wetter | Weather | Derivat | Derivative | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Aktienindex | Stock index |
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