Matches in SemOpenAlex for { <https://semopenalex.org/work/W2892841875> ?p ?o ?g. }
- W2892841875 endingPage "242" @default.
- W2892841875 startingPage "225" @default.
- W2892841875 abstract "This paper introduces a new temperature index, which can suitably represent the underlying of a weather derivative. Such an index is defined as the weighted mean of daily average temperatures measured in different locations. It may be used to hedge volumetric risk, that is the effect of unexpected fluctuations in the demand/supply for some specific commodities—of agricultural or energy type, for example—due to unfavorable temperature conditions. We aim at exploring the long term memory property of the volatility of such an index, in order to assess whether there exist some long-run paths and regularities in its riskiness. The theoretical part of the paper proceeds in a stepwise form: first, the daily average temperatures are modeled through autoregressive dynamics with seasonality in mean and volatility; second, the assessment of the distributional hypotheses on the parameters of the model is carried out for analyzing the long term memory property of the volatility of the index. The theoretical results suggest that the single terms of the index drive the long memory of the overall aggregation; moreover, interestingly, the proper selection of the parameters of the model might lead both to cases of persistence and antipersistence. The applied part of the paper provides some insights on the behaviour of the volatility of the proposed index, which is built starting from single daily average temperature time series." @default.
- W2892841875 created "2018-10-05" @default.
- W2892841875 creator A5058423016 @default.
- W2892841875 creator A5069280339 @default.
- W2892841875 creator A5089515863 @default.
- W2892841875 date "2018-09-25" @default.
- W2892841875 modified "2023-10-14" @default.
- W2892841875 title "Exploring the financial risk of a temperature index: a fractional integrated approach" @default.
- W2892841875 cites W1552362148 @default.
- W2892841875 cites W1971034465 @default.
- W2892841875 cites W1973404531 @default.
- W2892841875 cites W1978850860 @default.
- W2892841875 cites W1979310896 @default.
- W2892841875 cites W1979575715 @default.
- W2892841875 cites W1981953269 @default.
- W2892841875 cites W1982905309 @default.
- W2892841875 cites W1982993141 @default.
- W2892841875 cites W1984508133 @default.
- W2892841875 cites W1985137449 @default.
- W2892841875 cites W1993802185 @default.
- W2892841875 cites W1997279598 @default.
- W2892841875 cites W1999996900 @default.
- W2892841875 cites W2006128341 @default.
- W2892841875 cites W2014105024 @default.
- W2892841875 cites W2017599673 @default.
- W2892841875 cites W2023576194 @default.
- W2892841875 cites W2024369567 @default.
- W2892841875 cites W2032434311 @default.
- W2892841875 cites W2033536786 @default.
- W2892841875 cites W2036608004 @default.
- W2892841875 cites W2041073151 @default.
- W2892841875 cites W2043974314 @default.
- W2892841875 cites W2054744391 @default.
- W2892841875 cites W2065194732 @default.
- W2892841875 cites W2069472881 @default.
- W2892841875 cites W2073070036 @default.
- W2892841875 cites W2076315458 @default.
- W2892841875 cites W2090066663 @default.
- W2892841875 cites W2106450782 @default.
- W2892841875 cites W2109920861 @default.
- W2892841875 cites W2112831694 @default.
- W2892841875 cites W2124357853 @default.
- W2892841875 cites W2124522543 @default.
- W2892841875 cites W2139395482 @default.
- W2892841875 cites W2145632149 @default.
- W2892841875 cites W2145930759 @default.
- W2892841875 cites W2148614997 @default.
- W2892841875 cites W2155760846 @default.
- W2892841875 cites W2162527597 @default.
- W2892841875 cites W2169736048 @default.
- W2892841875 cites W2178791007 @default.
- W2892841875 cites W2341760625 @default.
- W2892841875 cites W2404337797 @default.
- W2892841875 cites W2472380084 @default.
- W2892841875 cites W2563392030 @default.
- W2892841875 cites W2951044827 @default.
- W2892841875 cites W3121275866 @default.
- W2892841875 cites W3122403693 @default.
- W2892841875 cites W3123134659 @default.
- W2892841875 cites W3123616420 @default.
- W2892841875 cites W3123765025 @default.
- W2892841875 cites W3125487688 @default.
- W2892841875 cites W4229796161 @default.
- W2892841875 cites W88659394 @default.
- W2892841875 doi "https://doi.org/10.1007/s10479-018-3063-0" @default.
- W2892841875 hasPublicationYear "2018" @default.
- W2892841875 type Work @default.
- W2892841875 sameAs 2892841875 @default.
- W2892841875 citedByCount "30" @default.
- W2892841875 countsByYear W28928418752019 @default.
- W2892841875 countsByYear W28928418752020 @default.
- W2892841875 countsByYear W28928418752021 @default.
- W2892841875 countsByYear W28928418752022 @default.
- W2892841875 countsByYear W28928418752023 @default.
- W2892841875 crossrefType "journal-article" @default.
- W2892841875 hasAuthorship W2892841875A5058423016 @default.
- W2892841875 hasAuthorship W2892841875A5069280339 @default.
- W2892841875 hasAuthorship W2892841875A5089515863 @default.
- W2892841875 hasBestOaLocation W28928418752 @default.
- W2892841875 hasConcept C10138342 @default.
- W2892841875 hasConcept C11413529 @default.
- W2892841875 hasConcept C136764020 @default.
- W2892841875 hasConcept C162118730 @default.
- W2892841875 hasConcept C162324750 @default.
- W2892841875 hasConcept C24858836 @default.
- W2892841875 hasConcept C2777382242 @default.
- W2892841875 hasConcept C41008148 @default.
- W2892841875 hasConcept C76073288 @default.
- W2892841875 hasConceptScore W2892841875C10138342 @default.
- W2892841875 hasConceptScore W2892841875C11413529 @default.
- W2892841875 hasConceptScore W2892841875C136764020 @default.
- W2892841875 hasConceptScore W2892841875C162118730 @default.
- W2892841875 hasConceptScore W2892841875C162324750 @default.
- W2892841875 hasConceptScore W2892841875C24858836 @default.
- W2892841875 hasConceptScore W2892841875C2777382242 @default.
- W2892841875 hasConceptScore W2892841875C41008148 @default.
- W2892841875 hasConceptScore W2892841875C76073288 @default.
- W2892841875 hasIssue "1" @default.