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Density forecasting for weather derivative pricing
9 references·1 citing·42 second hop
Density forecasting for weather derivative pricing (2005)Density forecasting for weather derivativ…Weather Forecasting for Weather Derivatives (2005)Weather Forecasting for Weath…CAViaR (2004)CAViaROn modelling and pricing weather derivatives (2002)On modelling and pricing weat…Dynamical pricing of weather derivatives (2002)Dynamical pricing of weather …Pricing weather derivatives by marginal value (2001)Pricing weather derivatives b…Weather Derivatives and Weather Insurance: Concept, Application, and Analysis (2000)Weather Derivatives and Weath…Evaluating volatility and interval forecasts (1999)Evaluating volatility and int…An Overview of Value at Risk (1997)An Overview of Value at RiskInterval forecasting (1989)Interval forecastingExploring the financial risk of a temperature index: a fractional integrated approach (2018)Exploring the financial risk …The Combination of Forecasts (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Combining competing forecasts of inflation using a bivariate arch model (1984)Dynamic quantile models (2008)Local linear spatial quantile regression (2009)Quantile Aggregation of Density Forecasts (2017)Stochastic Differential Equations: An Introduction with Applications. (1987)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)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Forecasting volatility (2006)Real Time, Time Series Forecasting of Inter- and Intra-State Political Conflict (2011)Combining probabilistic forecasts of COVID-19 mortality in the United States (2021)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Fractional Brownian Motions, Fractional Noises and Applications (1968)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes. (1996)Putting a Price on Temperature* (2007)Asset Prices in an Exchange Economy (1978)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Long-Term Memory in Stock Market Prices (1991)Research on the action mechanism of circular economy development and green finance based on entropy method and big data (2021)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)Long memory in surface air temperature: detection, modeling, and application to weather derivative valuation (2002)Does climate policy need probabilities (2003)Climate Change and the Sustainability of Ski-based Tourism in Eastern North America: A Reassessment (2006)
this work references cited by second hop

References

  • 2004CAViaR2,210 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2005Weather Forecasting for Weather Derivatives403 cited
  • 2002On modelling and pricing weather derivatives390 cited
  • 2002Dynamical pricing of weather derivatives221 cited
  • 2001Pricing weather derivatives by marginal value214 cited
  • 1989Interval forecasting118 cited
  • 2000Weather Derivatives and Weather Insurance: Concept, Application, and Analysis82 cited
  • 1999Evaluating volatility and interval forecasts56 cited

Cited by

  • 2018Exploring the financial risk of a temperature index: a fractional integrated approach37 cited

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