Density forecasting for weather derivative pricing
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Cited by:
- Meng, Xiaochun & Taylor, James W., 2022. "Comparing probabilistic forecasts of the daily minimum and maximum temperature," International Journal of Forecasting, Elsevier, vol. 38(1), pages 267-281.
- José Hernández & Fernando Carvajal-Serna, 2017. "Risk coverage in the face of hydrological variability in a run-off hydraulic power plant using weather derivatives," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 87, pages 191-222, Julio - D.
- 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.
- 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.
- Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers 08-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Rosella Castellano & Roy Cerqueti & Giulia Rotundo, 2020. "Exploring the financial risk of a temperature index: a fractional integrated approach," Annals of Operations Research, Springer, vol. 284(1), pages 225-242, January.
- Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618, April.
- Hernández Arango, José Miguel & Carvajal-Serna, Luis Fernando, 2017. "Cobertura al riesgo ante la variabilidad hidrológica en una central hidráulica a filo de agua usando derivados climáticos," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 87, pages 191-222, March.
- Oleg Kolesnikov & Alexander Markov & Daulet Smagulov & Sergejs Solovjovs, 2019. "Cyber bonds and their pricing models," Papers 1911.06698, arXiv.org.
- Cui, Hairong & Zhou, Ying & Dzandu, Michael D. & Tang, Yinshan & Lu, Xunfa, 2019. "Is temperature-index derivative suitable for China?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
- Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011.
"Likelihood-based scoring rules for comparing density forecasts in tails,"
Journal of Econometrics, Elsevier, vol. 163(2), pages 215-230, August.
- Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
- R Fildes & K Nikolopoulos & S F Crone & A A Syntetos, 2008. "Forecasting and operational research: a review," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(9), pages 1150-1172, September.
- 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.
- Kosater, Peter, 2006. "Cross-city hedging with weather derivatives using bivariate DCC GARCH models," Discussion Papers in Econometrics and Statistics 2/06, University of Cologne, Institute of Econometrics and Statistics.
- Eirini Konstantinidi & Gkaren Papazian & George Skiadopoulos, 2015. "Modeling the Dynamics of Temperature with a View to Weather Derivatives," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 17, pages 511-544, World Scientific Publishing Co. Pte. Ltd..
- repec:hal:journl:peer-00834423 is not listed on IDEAS
- Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, vol. 5(3), pages 1-37, March.
- Dupuis, Debbie J., 2011. "Forecasting temperature to price CME temperature derivatives," International Journal of Forecasting, Elsevier, vol. 27(2), pages 602-618.
- Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
- 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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