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Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation Cover

Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation

Croatian Review of Economic, Business and Social Statistics
Volume 6 (2020): Issue 1 (May 2020)
By: Berislav Žmuk and  Matej Kovač  
Open Access
|Jun 2020
DOI: https://doi.org/10.2478/crebss-2020-0003 | Journal eISSN: 2459-5616
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Language: English
Page range: 27 - 42
Submitted on: Apr 3, 2020
|
Accepted on: May 10, 2020
|
Published on: Jun 8, 2020
Published by: Sciendo
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year
Keywords:
GARCH model,
MAPE,
Ornstein-Uhlenbeck process,
RMSE,
temperature forecasting,
weather derivatives
Related subjects:
Business and economics,
Mathematics and statistics for economists,
Mathematics,
Econometrics,
Mathematics,
Probability and statistics,
Social sciences,
Sociology,
Methods, techniques, statistics

© 2020 Berislav Žmuk, Matej Kovač, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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