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Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...
Persistent link: https://www.econbiz.de/10010607145
seasonal variance of temperature residuals. We present a time series approach for modelling temperature dynamics. A seasonal … model describes well the stylised facts of temperature: seasonality, intertemporal correla- tions and the heteroscedastic … behaviour of residuals. The application to European temperature data indicates that the multiplicative model for the seasonal …
Persistent link: https://www.econbiz.de/10010543378