6533b86dfe1ef96bd12c9c48

RESEARCH PRODUCT

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

Jūratė ŠAltytė BenthFred Espen Benth

subject

GARCHVDP::Social science: 200::Economics: 210::Econometrics: 214time series modelseasonalityweather derivatestemperature

description

Author's version of an article published in the journal: Energy Economics. Also available from the publisher at: http://dx.doi.org/10.1016/j.eneco.2011.09.012 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.

yearjournalcountryeditionlanguage
2012-01-01
http://hdl.handle.net/11250/136007