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2014-02-25Buch DOI: 10.18452/4507
Modelling spatiotemporalvariability oftemperature
dc.contributor.authorCao, Xiaofeng
dc.contributor.authorOkhrin, Ostap
dc.contributor.authorOdening, Martin
dc.contributor.authorRitter, Matthias
dc.date.accessioned2017-06-16T00:59:46Z
dc.date.available2017-06-16T00:59:46Z
dc.date.created2014-09-08
dc.date.issued2014-02-25
dc.date.submitted2014-02-25
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5159
dc.description.abstractForecasting temperature in time and space is an important precondition for both the design of weather derivatives and the assessment of the hedging effectiveness of index based weather insur-ance. In this article, we show how this task can be accomplished by means of Kriging techniques. Moreover, we compare Kriging with a dynamic semiparametric factor model (DSFM) that has been recently developed for the analysis of high dimensional financial data. We apply both methods to comprehensive temperature data covering a large area of China and assess their performance in terms of predicting a temperature index at an unobserved location. The results show that the DSFM performs worse than standard Kriging techniques. Moreover, we show how geographic basis risk inherent to weather derivatives can be mitigated by regional diversification.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectsemiparametric modeleng
dc.subjectfactor modeleng
dc.subjectweather insuranceeng
dc.subjectKrigingeng
dc.subjectgeographic basis riskeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleModelling spatiotemporalvariability oftemperature
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100219979
dc.identifier.doihttp://dx.doi.org/10.18452/4507
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2014
local.edoc.container-issue20
local.edoc.container-year2014
local.edoc.container-erstkatid2195055-6

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