A critical view on temperature modelling for application in weather derivatives markets

被引：20

作者：

Benth, Jurate Saltyte ^{[1
,2
]}

Benth, Fred Espen ^{[3
,4
]}

机构：

[1] Akershus Univ Hosp, HOKH, Res Ctr, N-1478 Lorenskog, Norway

[2] Univ Oslo, Inst Clin Med, N-0316 Oslo, Norway

[3] Univ Oslo, Ctr Math Applicat, N-0316 Oslo, Norway

[4] Univ Agder, Sch Management, Agder, Norway

来源：

ENERGY ECONOMICS | 2012年 / 34卷 / 02期

关键词：

Temperature; Time series model; Weather derivatives; Seasonality; GARCH; PRICE;

D O I：

10.1016/j.eneco.2011.09.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By comparing the proposed model with the popular model of Campbell and Diebold (2005), we point out some important issues to be addressed when modelling the temperature for application in weather derivatives market. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：592 / 602

页数：11

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