Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56622 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2010-043
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
In usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the incorporation of meteorological forecasts in the framework of weather derivative pricing and is able to estimate the information gain compared to a benchmark model without meteorological forecasts. This approach is applied for temperature futures referring to New York, Minneapolis and Cincinnati with forecast data 13 days in advance. Despite this relatively short forecast horizon, the models using meteorological forecasts outperform the classical approach and more accurately forecast the market prices of the temperature futures traded at the Chicago Mercantile Exchange (CME). Moreover, a concentration on the last two months or on days with actual trading improves the results.
Schlagwörter: 
weather forecasting
weather risk
price forecasting
financial markets
temperature futures
CME
JEL: 
C53
G13
G17
N23
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
587.39 kB





Publikationen in EconStor sind urheberrechtlich geschützt.