Estimating Trends in Weather Series: Consequences for Pricing Derivatives

DOI10.2202/1558-3708.1386MaRDI QIDQ5452752zbMATH OpenOpenAlexFDO

Authors Stephen Jewson, Jeremy Penzer

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1386

Mathematics Subject Classification ID

Geostatistics (86A32) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited in

(1)

• Time series smoothing by penalized least squares

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