Implied Market Price of Weather Risk
Year of publication: |
2009-01
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Authors: | Härdle, Wolfgang ; Cabrera, Brenda López |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | Weather derivatives | weather risk | weather forecasting | seasonality | continuous autoregressive model | stochastic variance | CAT index | CDD index | HDD index | market price of risk | risk premium | CME |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2009-001 35 pages |
Classification: | G19 - General Financial Markets. Other ; G29 - Financial Institutions and Services. Other ; N26 - Latin America; Caribbean ; N56 - Latin America; Caribbean ; Q29 - Renewable Resources and Conservation; Environmental Management. Other ; Q54 - Climate; Natural Disasters |
Source: |
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Implied market price of weather risk
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