Dorfleitner, Gregor; Wimmer, Maximilian - In: Journal of Banking & Finance 34 (2010) 6, pp. 1360-1370
This paper analyzes observed prices of US temperature futures at the Chicago Mercantile Exchange (CME). Results show that an index modeling approach without detrending captures the prices exceptionally well. Moreover, weather forecasts significantly influence prices up to 11 days ahead. It is...