A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives
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More about this item
Keywords
Levy Process; Weather Derivative; Temperature; Regime-Switching;All these keywords.
JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AGR-2018-11-19 (Agricultural Economics)
- NEP-ENV-2018-11-19 (Environmental Economics)
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