Optimal Hedging of Prediction Errors Using Prediction Errors
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DOI: 10.1007/s10690-008-9069-x
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References listed on IDEAS
- Maindonald, John, 2006. "Generalized Additive Models: An Introduction with R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 16(b03).
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- Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Takeaki Kariya, 2003. "Weather Risk Swap Valuation," KIER Working Papers 568, Kyoto University, Institute of Economic Research.
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Cited by:
- Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 149-179, May.
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Keywords
Wind power energy; Prediction errors; Weather derivatives; Minimum variance hedge; Non-parametric regression;All these keywords.
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