Sökning: "Kim Eva Strömmer-Van Keymeulen"

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  1. 1. Daily Temperature Modelling for Weather Derivative Pricing - A Comparative Index Forecast Analysis of Adapted Popular Temperature Models

    Magister-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Kim Eva Strömmer-Van Keymeulen; [2013-07-05]
    Nyckelord :;

    Sammanfattning : This study aims to construct improved daily air temperature models to obtain more precise index values for New York LaGuardia and, thus, more accurate weather derivative prices for contracts written on that location. The study shows that dynamic temperature submodels using a quadratic trend on a 50-year dataset generally produce more accurate forecast results than the studied models that do not. LÄS MER