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Weather Forecasting for Weather Derivatives

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Author Info
Sean D. Campbell
Francis X. Diebold

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Abstract

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Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 100 (2005)
Issue (Month): (March)
Pages: 6-16
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bes:jnlasa:v:100:y:2005:p:6-16

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
  2. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 561-71, Sept.-Oct. [Downloadable!] (restricted)
    Other versions:
  3. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  4. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1999. "Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 661-673, November. [Downloadable!] (restricted)
  5. Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia. [Downloadable!]
    Other versions:
  6. Roll, Richard, 1984. "Orange Juice and Weather," American Economic Review, American Economic Association, vol. 74(5), pages 861-80, December. [Downloadable!] (restricted)
  7. Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1997. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," NBER Working Papers 6228, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  8. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  9. Seater, John J, 1993. "World Temperature-Trend Uncertainties and Their Implications for Economic Policy," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 265-77, July.
  10. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
  11. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  12. Hyndman, R.J. & Grunwald, G.K., 1999. "Generalized Additive Modelling of Mixed Distribution Markov Models with Application to Melbourne's Rainfall," Monash Econometrics and Business Statistics Working Papers 2/99, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  13. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August. [Downloadable!] (restricted)
    Other versions:
  15. Enric Valor & Hipòlit Torró & Vicente Meneu, 2001. "Single Factor Stochastic Models With Seasonality Applied To Underlying Weather Derivatives Variables," Working Papers. Serie EC 2001-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  16. Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December. [Downloadable!]
  17. Pesaran, M Hashem & Pierse, Richard G & Kumar, Mohan S, 1989. "Econometric Analysis of Aggregation in the Context of Linear Prediction Models," Econometrica, Econometric Society, vol. 57(4), pages 861-88, July. [Downloadable!] (restricted)
    Other versions:
  18. Sean D. Campbell & Francis X. Diebold, 2002. "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers 02-42, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  19. repec:cup:etheor:v:13:y:1997:i:6:p:808-17 is not listed on IDEAS
  20. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
  21. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales. [Downloadable!]
    Other versions:
  2. Jacob Boudoukh & Matthew Richardson & YuQing Shen & Robert F. Whitelaw, 2003. "Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market," NBER Working Papers 9515, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Fred Espen Benth & Jūratė Šaltytė-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(1), pages 53-85, March. [Downloadable!] (restricted)
  4. Hélène Hamisultane, 2008. "Sunshine-Factor Model with Treshold GARCH for Predicting Temperature of Weather Contracts," Working Papers halshs-00355857_v1, HAL. [Downloadable!]
  5. Sean D. Campbell & Francis X. Diebold, 2004. "Weather Forecasting for Weather Derivatives," CFS Working Paper Series 2004/10, Center for Financial Studies. [Downloadable!]
    Other versions:
  6. Turvey, Calum G. & Norton, Michael, 2008. "An Internet-Based Tool for Weather Risk Management," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 37(1), April. [Downloadable!]
  7. Musshoff, Oliver & Odening, Martin & Xu, Wei, 2006. "Modeling and Hedging Rain Risk," 2006 Annual meeting, July 23-26, Long Beach, CA 21050, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  8. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856_v1, HAL. [Downloadable!]
  9. Nejat Anbarci & Eric Floehr & Jungmin Lee & Joon Jin Song, 2008. "Economic Bias of Weather Forecasting: A Spatial Modeling Approach," Economics Series 2008_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  10. Caiado, Jorge, 2009. "Performance of combined double seasonal univariate time series models for forecasting water consumption," MPRA Paper 6610, University Library of Munich, Germany. [Downloadable!]
  11. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  12. Adam Clements & A S Hurn & K A Lindsay, 2008. "Estimating the Payoffs of Temperature-based Weather Derivatives," NCER Working Paper Series 33, National Centre for Econometric Research. [Downloadable!]
  13. Wolfram Schlenker & Michael Roberts, 2008. "Estimating the Impact of Climate Change on Crop Yields: The Importance of Nonlinear Temperature Effects," NBER Working Papers 13799, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. Adam Clements & A S Hurn & K A Lindsay, 2008. "Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives," NCER Working Paper Series 34, National Centre for Econometric Research. [Downloadable!]
  15. Jorge Caiado, 2009. "Performance of combined double seasonal univariate time series models for forecasting water demand," CEMAPRE Working Papers 0903, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon. [Downloadable!]
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