Weather Forecasting for Weather Derivatives

Bollerslev, T. and Wooldridge, J.M. (1992), “Quasi-Maximum Likelihood Estimation and Inference in

Dynamic Models with Time Varying Covariances,” Econometric Reviews, 11, 143-172.

Brier, G.W. and Allen, R.A. (1951), “Verification of Weather Forecasts,” in T.F. Malone (ed.),
Compendium of Meteorology, American Meteorological Society.

Campbell, S.D. and Diebold, F.X. (2002), “Weather Forecasting for Weather Derivatives (first version),”

Working Paper No. 02-42, Wharton Financial Institutions Center.

Campbell, S.D. and Diebold, F.X. (2003), “Weather Forecasting for Weather Derivatives (second
version),” Working Paper No. 10141, National Bureau of Economic Research.

Cao, M. and Wei, J. (2001), “Pricing Weather Derivatives: An Equilibrium Approach,” Manuscript,
University of York and University of Toronto.

Davis, M. (2001), “Pricing Weather Derivatives by Marginal Value,” Quantitative Finance, 1, 305-308.

Dawid, A.P. (1984), “Statistical Theory: The Prequential Approach,” Journal of the Royal Statistical

Society, Series A, 147, 278-292.

Diebold, F.X. (2004), Elements of Forecasting, Third Edition. Cincinnati: South-Western.

Diebold, F.X., Gunther, T. and Tay, A.S. (1998), “Evaluating Density Forecasts, with Applications to

Financial Risk Management,” International Economic Review, 39, 863-883.

Diebold, F.X., Hahn, J. and Tay, A.S. (1999), “Multivariate Density Forecast Evaluation and Calibration in

Financial Risk Management: High-Frequency Returns on Foreign Exchange,” Review of
Economics and Statistics, 81, 661-673.

Diebold, F.X., Tay, A.S. and Wallis, K. (1999), “Evaluating Density Forecasts of Inflation: The Survey of
Professional Forecasters,” in R. Engle and H. White (eds.), Cointegration, Causality, and
Forecasting: A Festschrift in Honor of Clive W.J. Granger, 76-90, Oxford University Press.

Dischel, R.S., ed. (2002), Climate Risk and the Weather Market: Financial Risk Management with

Weather Hedges. London: Risk Publications.

Engle, R.F. (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K.

-19-

<<   19   20   21   22   23   24   25   >>

More intriguing information