Description of weather data and exploratory analysis

Fred Espen Benth and Jūratė Šaltytė Benth
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Fred Espen Benth: University of Oslo, Norway
Jūratė Šaltytė Benth: University of Oslo, Norway

Chapter 2 in Modeling and Pricing in Financial Markets for Weather Derivatives, 2012, pp 17-34 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn this Chapter we will describe the weather data used for the empirical analysis throughout the book. The data are typical for what one may obtain from meteorological services worldwide, and our statistical analysis to come will serve as an example on how to deal with these and how to construct and estimate stochastic models for temperature, wind speed and precipitation.

Keywords: Weather Derivatives; Stochastic Processes; HDD; CDD; Autoregressive Moving Average Time Series; Futures Contracts; Options; Utility Pricing; Girsanov Transform; Esscher Transform; Precipitation; Temperature; Wind Speed (search for similar items in EconPapers)
Date: 2012
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