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Daily seasonality in crude oil returns and volatilities
Auer, Benjamin R. - In: Energy Economics 43 (2014) C, pp. 82-88
-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on … choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH. …
Persistent link: https://www.econbiz.de/10011100130
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A critical view on temperature modelling for application in weather derivatives markets
Šaltytė Benth, Jūratė; Benth, Fred Espen - In: Energy Economics 34 (2012) 2, pp. 592-602
In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By...
Persistent link: https://www.econbiz.de/10011039672