Optimal Hedging of Prediction Errors Using Prediction Errors
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 15 (2008)
Issue (Month): 1 (March)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Wind power energy; Prediction errors; Weather derivatives; Minimum variance hedge; Non-parametric regression;
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.:
- Takeaki Kariya, 2003. "Weather Risk Swap Valuation," KIER Working Papers 568, Kyoto University, Institute of Economic Research.
- M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308.
- Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney.
- John Maindonald, . "Generalized Additive Models: An Introduction with R," Journal of Statistical Software, American Statistical Association, vol. 16(b03).
- Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer, vol. 19(2), pages 149-179, May.
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