Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives

By Fred Espen Benth, J. Saltyte-Benth. 2005

207 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3a08c8a8622de4ed1309b9acafd9dc117cf82127

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. J. Šaltytė Benth
2. Fred Espen Benth
3. G. Seidler
4. Maximilian Wimmer
5. Frank Schiller
6. Steen Koekebakker
7. J. Saltyte-Benth

In Finance

1. J. Šaltytė Benth
2. Fred Espen Benth
3. G. Seidler
4. Maximilian Wimmer
5. Frank Schiller
6. Nina Lange
7. Steen Koekebakker
8. J. Saltyte-Benth

Citations in the corpus

• The volatility of temperature and pricing of weather derivatives (2007, methodology): “…1469–7696 online # 2007 Taylor & Francis http://www.tandf.co.uk/journals DOI: 10.1080/14697680601155334 Norwegian data of Benth and Šaltyt_e Benth (2005)), but we believe that our model is sufficiently sophisticated to explain the basic statistical properties of temperature, yet…”
• A Spatial-temporal Model for Temperature with Seasonal Variance (2007, background): “The stated properties and assumptions lead us to the following model of the spatialtemporal covariance function for ε(s; t) defined in (3):”
• Temperature models for pricing weather derivatives (2012, methodology): “61% for the Benth model, and an MSRE of 1.57% for the Spline model. Apparently, the advantage of the Spline model is not driven by the trend and seasonal component, but by the way the residues are modelled. Basically, the Alaton model and Benth model use an AR(1) process for the residues, which can ”