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FORECASTING TEMPERATURE INDICES WITH TIME-VARYING LONG-MEMORY MODELS

By Università Degli Studi Di Padova, Massimiliano Caporin, Massimiliano Caporin and Juliusz Preś

Abstract

“MARCO FANNO ” WORKING PAPER N.88Forecasting temperature indices with timevarying long-memory models

Topics: weather forecasting, weather derivatives, long memory time series, timevarying long memory, derivative pricing. JEL Codes, C22, C15, C53, G10, G13
Year: 2009
OAI identifier: oai:CiteSeerX.psu:10.1.1.183.980
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