Clements, Adam; Hurn, A S; Lindsay, K A - National Centre for Econometric Research (NCER) - 2008
Temperature-based weather derivatives are written on an index which is normally defined to be a nonlinear function of … average daily temperatures. Recent empirical work has demonstrated the usefulness of simple time-series models of temperature … data set comprising average daily temperature spanning over a hundred years for four Australian cities is assembled. The …