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Density forecasting for weather derivative pricing

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  • Taylor, James W.
  • Buizza, Roberto
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    File URL: http://www.sciencedirect.com/science/article/B6V92-4H27BV7-1/2/ccff945e26db0f6369b47f812376113d
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    Bibliographic Info

    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 22 (2006)
    Issue (Month): 1 ()
    Pages: 29-42

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    Handle: RePEc:eee:intfor:v:22:y:2006:i:1:p:29-42

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    Web page: http://www.elsevier.com/locate/ijforecast

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    References

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    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.:
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    1. Sean D. Campbell & Francis X. Diebold, 2002. "Weather Forecasting for Weather Derivatives," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 02-42, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Dorje Brody & Joanna Syroka & Mihail Zervos, 2002. "Dynamical pricing of weather derivatives," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 2(3), pages 189-198.
    3. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 33-50, January.
    4. Peter Alaton & Boualem Djehiche & David Stillberger, 2002. "On modelling and pricing weather derivatives," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(1), pages 1-20.
    5. M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(3), pages 305-308.
    6. Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.
    7. Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
    8. Taylor, James W. & Buizza, Roberto, 2003. "Using weather ensemble predictions in electricity demand forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 19(1), pages 57-70.
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    Cited by:
    1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
    2. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers, School of Economics, The University of New South Wales 2008-10, School of Economics, The University of New South Wales.
    3. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute.
    4. Ahčan, Aleš, 2012. "Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 131-138.
    5. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print peer-00834423, HAL.
    6. Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(2), pages 602-618, April.
    7. Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, Open Access Journal, vol. 5(3), pages 621-657, March.
    8. Kosater, Peter, 2006. "Cross-city hedging with weather derivatives using bivariate DCC GARCH models," Discussion Papers in Statistics and Econometrics 2/06, University of Cologne, Department for Economic and Social Statistics.
    9. Fuhrer, Jurg & Beniston, Martin & Calanca, Pierluigi & Torriani, Daniele Simone, 2007. "Alternative Hedging Strategies in Maize Production to Cope with Climate Variability and Change," 101st Seminar, July 5-6, 2007, Berlin Germany 9275, European Association of Agricultural Economists.

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