Add to ORKGThis study aims to construct improved daily air temperature models to obtain more precise index values for New York LaGuardia and, thus, more accurate weather derivative prices for contracts written on that location. The study shows that dynamic temperature submodels using a quadratic trend on a 50-year dataset generally produce more accurate forecast results than the studied models that do not. Moreover, the market model outperforms all other models up to 19 months ahead in the future
In this paper we present a stochastic model for daily average temperature. The model contains season...
The introduction of the first weather derivative based upon the degree-days in the United-States in ...
Temperature-based weather derivatives are written on an index which is normally defined to be a nonl...
We present four models for predicting temperatures that can be used for pricing weather derivatives....
In usual pricing approaches for weather derivatives, forward-looking information such as meteorologi...
Values of weather derivatives depend on weather outcomes, such as temperature or precipitation. Acad...
This study first proposes a temperature model to calculate the temperature indices upon which temper...
Abstract of associated article: In the past decade, the Chicago Mercantile Exchange began to trade w...
The main purpose of this paper is to present a feasible model for the daily average temperature on t...
We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. ...
Temperature-based weather derivatives are written on an index which is normally defined to be a nonl...
Copyright © 2013 A. E. Clements et al. This is an open access article distributed under the Creative...
Abstract\ud The aim of this paper is to design a temperature foresting model which is able to model ...
This paper analyzes observed prices of U.S. temperature futures at the Chicago Mercantile Exchange (...
This paper seeks to forecast temperatures in US cities in order to price temperature derivatives on ...
In this paper we present a stochastic model for daily average temperature. The model contains season...
The introduction of the first weather derivative based upon the degree-days in the United-States in ...
Temperature-based weather derivatives are written on an index which is normally defined to be a nonl...
We present four models for predicting temperatures that can be used for pricing weather derivatives....
In usual pricing approaches for weather derivatives, forward-looking information such as meteorologi...
Values of weather derivatives depend on weather outcomes, such as temperature or precipitation. Acad...
This study first proposes a temperature model to calculate the temperature indices upon which temper...
Abstract of associated article: In the past decade, the Chicago Mercantile Exchange began to trade w...
The main purpose of this paper is to present a feasible model for the daily average temperature on t...
We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. ...
Temperature-based weather derivatives are written on an index which is normally defined to be a nonl...
Copyright © 2013 A. E. Clements et al. This is an open access article distributed under the Creative...
Abstract\ud The aim of this paper is to design a temperature foresting model which is able to model ...
This paper analyzes observed prices of U.S. temperature futures at the Chicago Mercantile Exchange (...
This paper seeks to forecast temperatures in US cities in order to price temperature derivatives on ...
In this paper we present a stochastic model for daily average temperature. The model contains season...
The introduction of the first weather derivative based upon the degree-days in the United-States in ...
Temperature-based weather derivatives are written on an index which is normally defined to be a nonl...
