Sunshine-Factor Model with Treshold GARCH for Predicting Temperature of Weather Contracts
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References listed on IDEAS
- Fred Espen Benth & Jurate Saltyte-Benth, 2005. "Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 53-85.
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More about this item
KeywordsValue-at-Risk; weather derivatives; structural model; Markov chain; threshold GARCH; Monte-Carlo simulations; Value-at-Risk.;
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