Optimal Hedging of Prediction Errors Using Prediction Errors
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References listed on IDEAS
- Maindonald, John, 2006. "Generalized Additive Models: An Introduction with R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 16(b03).
- Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 23-53, March.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- M. Davis, 2001. "Pricing weather derivatives by marginal value," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 305-308, March.
- Takeaki Kariya, 2003. "Weather Risk Swap Valuation," KIER Working Papers 568, Kyoto University, Institute of Economic Research.
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- Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 149-179, May.
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KeywordsWind power energy; Prediction errors; Weather derivatives; Minimum variance hedge; Non-parametric regression;
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