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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 … each location) that allows the incorporation of meteorological forecasts in the framework of WD pricing. We study weather …
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This paper explores a range of simple models to study the relationship between global temperature anomalies and climate forcings. In particular, we consider quantile regression models with potentially time-varying parameters (TVP), implemented by Bayesian methods. In its most general...
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