The purpose of this paper is to examine weather risk management by application of weather derivatives in agriculture and evaluate the hedging efficiency. Agriculture is a sector highly sensitive to meteorological elements that affect the yield of many crops. The underlying weather indices...

Risk aversion is a key element of utility maximizing hedge strategies; however, it hastypically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of riskaversion that is based on the observed risk...