Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation
An accurate weather forecast is the basis for the valuation of weather derivatives, securities that partially compensate for financial losses to holders in case of, from their perspective, adverse outside temperature. The paper analyses precision of two forecast models of average daily temperature,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2020-05-01
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| Series: | Croatian Review of Economic, Business and Social Statistics |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/crebss-2020-0003 |