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Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity
11 references·2 citing·44 second hop
Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity (2012)Spatial Risk Premium on Weather Derivativ…Stochastic Differential Equations (2014)Stochastic Differential Equat…Risk Management and Firm Value: Evidence from Weather Derivatives (2013)Risk Management and Firm Valu…The Implied Market Price of Weather Risk (2011)The Implied Market Price of W…Risk Management and Firm Value: Evidence from Weather Derivatives (2009)Risk Management and Firm Valu…An Empirical Analysis of Energy Intensity and Its Determinants at the State Level (2008)An Empirical Analysis of Ener…Putting a Price on Temperature* (2007)Putting a Price on Temperatur…Weather Forecasting for Weather Derivatives (2005)Weather Forecasting for Weath…On modelling and pricing weather derivatives (2002)On modelling and pricing weat…Geographically Weighted Regression: The Analysis of Spatially Varying Relationships (2002)Geographically Weighted Regre…Pricing weather derivatives by marginal value (2001)Pricing weather derivatives b…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Exploring the financial risk of a temperature index: a fractional integrated approach (2018)Exploring the financial risk …Estimation of the characteristics of a Lévy process observed at arbitrary frequency (2010)Estimation of the characteris…Generalized autoregressive conditional heteroskedasticity (1986)Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equations (2003)The pricing of temperature futures at the Chicago Mercantile Exchange (2009)Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (2013)Arbitrage Theory in Continuous Time (1998)Stochastic Differential Equations (1998)Pricing Weather Derivatives (2004)Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005)The volatility of temperature and pricing of weather derivatives (2007)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Is Free Trade Good for the Environment? (1998)The relationship between energy consumption structure, economic structure and energy intensity in China (2009)Estimation, characteristics, and determinants of energy-related industrial CO2 emissions in Shanghai (China), 1994–2009 (2011)Structural change and convergence of energy intensity across OECD countries, 1970–2005 (2012)An equilibrium characterization of the term structure (1977)Asset Prices in an Exchange Economy (1978)A Theory of the Term Structure of Interest Rates (1985)THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS (2010)The effect of temperature anomaly and macroeconomic fundamentals on agricultural commodity futures returns (2021)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Corporate social responsibility and CEO confidence (2016)Research in finance: A review of influential publications and a research agenda (2017)Carbon Emissions and the Bank-Lending Channel (2026)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Chapter 15 Volatility and Correlation Forecasting (2006)Quantiles as optimal point forecasts (2010)Climate risk: The price of drought (2020)Stochastic Differential Equations and Diffusion Processes (1983)Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Advances of the probability density evolution method for nonlinear stochastic systems (2011)Functional Itô calculus and stochastic integral representation of martingales (2013)Methods to account for spatial autocorrelation in the analysis of species distributional data: a review (2007)A measure of spatial stratified heterogeneity (2016)Cross‐validation strategies for data with temporal, spatial, hierarchical, or phylogenetic structure (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)
this work references cited by second hop

References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 2002Geographically Weighted Regression: The Analysis of Spatially Varying Relationships3,946 cited
  • 2014Stochastic Differential Equations574 cited
  • 2005Weather Forecasting for Weather Derivatives403 cited
  • 2002On modelling and pricing weather derivatives390 cited
  • 2008An Empirical Analysis of Energy Intensity and Its Determinants at the State Level317 cited
  • 2013Risk Management and Firm Value: Evidence from Weather Derivatives315 cited
  • 2001Pricing weather derivatives by marginal value214 cited
  • 2007Putting a Price on Temperature*120 cited
  • 2011The Implied Market Price of Weather Risk83 cited
  • 2009Risk Management and Firm Value: Evidence from Weather Derivatives53 cited

Cited by

  • 2010Estimation of the characteristics of a Lévy process observed at arbitrary frequency44 cited
  • 2018Exploring the financial risk of a temperature index: a fractional integrated approach37 cited

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