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Optimal Hedging of Prediction Errors Using Prediction Errors

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  • Yuji Yamada

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10690-008-9069-x
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    Bibliographic Info

    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 15 (2008)
    Issue (Month): 1 (March)
    Pages: 67-95

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    Handle: RePEc:kap:apfinm:v:15:y:2008:i:1:p:67-95

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    Web page: http://springerlink.metapress.com/link.asp?id=102851

    Related research

    Keywords: Wind power energy; Prediction errors; Weather derivatives; Minimum variance hedge; Non-parametric regression;

    References

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    1. M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308.
    2. Takeaki Kariya, 2003. "Weather Risk Swap Valuation," KIER Working Papers 568, Kyoto University, Institute of Economic Research.
    3. John Maindonald, . "Generalized Additive Models: An Introduction with R," Journal of Statistical Software, American Statistical Association, vol. 16(b03).
    4. Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney.
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    Cited by:
    1. 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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