Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables
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DOI: 10.1108/eb022969
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- 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).
References listed on IDEAS
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Cited by:
- Sean D. Campbell & Francis X. Diebold, 2005.
"Weather Forecasting for Weather Derivatives,"
Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 6-16, March.
- 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.
- Campbell, Sean D. & Diebold, Francis X., 2004. "Weather forecasting for weather derivatives," CFS Working Paper Series 2004/10, Center for Financial Studies (CFS).
- Sean D. Campbell & Francis X. Diebold, 2003. "Weather Forecasting for Weather Derivatives," NBER Working Papers 10141, National Bureau of Economic Research, Inc.
- Óscar Trull & J. Carlos García-Díaz & Alicia Troncoso, 2019. "Application of Discrete-Interval Moving Seasonalities to Spanish Electricity Demand Forecasting during Easter," Energies, MDPI, vol. 12(6), pages 1-16, March.
- 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.
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More about this item
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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