Forecasting temperature indices density with time-varying long-memory models

DOI10.1002/FOR.1272MaRDI QIDQ4687328zbMATH OpenOpenAlexFDO

Authors Massimiliano Caporin, Juliusz Preś

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1272

zbMATH Keywords

derivative pricingweather derivativesweather forecastingweather risks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12)

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