Modeling and forecasting cumulative average temperature and heating degree day indices for weather derivative pricing

Neural Computing and Applications

Volumn 20, Issue 6, 2011, Pages 787-801

  Zapranis, A ^a   Alexandridis, A ^a  

^a UNIVERSITY OF MACEDONIA   (Greece)

Author keywords

Forecasting; Pricing; Wavelet networks; Weather derivatives

Indexed keywords

AVERAGE TEMPERATURE; CHICAGO; DAILY TEMPERATURES; MEAN REVERSION; MODELING AND FORECASTING; ORNSTEIN-UHLENBECK; PRICING METHODS; SEASONALITY; TIME VARYING; WAVELET NETWORK; WAVELET NEURAL NETWORKS; WEATHER DERIVATIVES;

COSTS; HEATING; NEURAL NETWORKS; TIME VARYING NETWORKS;

WEATHER FORECASTING;

EID: 80051669932     PISSN: 09410643     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00521-010-0494-1     Document Type: Article

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