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Dynamic pricing of wind futures
Benth, Fred Espen; Šaltytė Benth, Jūratė - In: Energy economics 31 (2009) 1, pp. 16-24
Persistent link: https://www.econbiz.de/10008162171
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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. 592-603
Persistent link: https://www.econbiz.de/10009836245
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Dynamic pricing of wind futures
Benth, Fred Espen; Šaltytė Benth, Jūratė - In: Energy economics 31 (2009) 1, pp. 16-25
Persistent link: https://www.econbiz.de/10008890088
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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