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2011-01-03Buch DOI: 10.18452/4291
Localising temperature risk
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorCabrera, Brenda López
dc.contributor.authorOkhrin, Ostap
dc.contributor.authorWang, Weining
dc.date.accessioned2017-06-16T00:16:10Z
dc.date.available2017-06-16T00:16:10Z
dc.date.created2011-04-15
dc.date.issued2011-01-03
dc.date.submitted2011-01-03
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4943
dc.description.abstractOn the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for temperature dynamics is a stochastic model with seasonality and inter temporal autocorrelation. Empirical work based on seasonality and autocorrelation correction reveals that the obtained residuals are heteroscedastic with a periodic pattern. The object of this research is to estimate this heteroscedastic function so that after scale normalisation a pure standardised Gaussian variable appears. Earlier work investigated this temperature risk in different locations and showed that neither parametric component functions nor a local linear smoother with constant smoothing parameter are flexible enough to generally describe the volatility process well. Therefore, we consider a local adaptive modeling approach to find at each time point, an optimal smoothing parameter to locally estimate the seasonality and volatility. Our approach provides a more flexible and accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectWeather derivativeseng
dc.subjectseasonalityeng
dc.subjectlocalising temperature residualseng
dc.subjectlocal model selectioneng
dc.subject.ddc330 Wirtschaft
dc.titleLocalising temperature risk
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100185684
dc.identifier.doihttp://dx.doi.org/10.18452/4291
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue1
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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