Matches in SemOpenAlex for { <https://semopenalex.org/work/W3145795402> ?p ?o ?g. }
Showing items 1 to 55 of
55
with 100 items per page.
- W3145795402 abstract "Weather is a key production factor in agricultural crop production and at the same time the most significant and least controllable source of peril in agriculture. These effects of weather on agricultural crop production have triggered a widespread support for weather derivatives as a means of mitigating the risk associated with climate change on agriculture. However, these products are faced with basis risk as a result of poor design and modelling of the underlying weather variable (temperature). In order to circumvent these problems, a novel time-varying mean-reversion L´evy regime-switching model is used to model the dynamics of the deseasonalized temperature dynamics. Using plots and test statistics, it is observed that the residuals of the deseasonalized temperature data are not normally distributed. To model the nonnormality in the residuals, we propose using the hyperbolic distribution to capture the semiheavy tails and skewness in the empirical distributions of the residuals for the shifted regime. The proposed regime-switching model has a mean-reverting heteroskedastic process in the base regime and a Levy process in the shifted regime. By using the Expectation-Maximization algorithm, the parameters of the proposed model are estimated. The proposed model is flexible as it modelled the deseasonalized temperature data accurately." @default.
- W3145795402 created "2021-04-13" @default.
- W3145795402 creator A5070036610 @default.
- W3145795402 creator A5074927894 @default.
- W3145795402 creator A5090996672 @default.
- W3145795402 date "2018-01-01" @default.
- W3145795402 modified "2023-09-26" @default.
- W3145795402 title "A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives" @default.
- W3145795402 hasPublicationYear "2018" @default.
- W3145795402 type Work @default.
- W3145795402 sameAs 3145795402 @default.
- W3145795402 citedByCount "0" @default.
- W3145795402 crossrefType "posted-content" @default.
- W3145795402 hasAuthorship W3145795402A5070036610 @default.
- W3145795402 hasAuthorship W3145795402A5074927894 @default.
- W3145795402 hasAuthorship W3145795402A5090996672 @default.
- W3145795402 hasConcept C101104100 @default.
- W3145795402 hasConcept C122342681 @default.
- W3145795402 hasConcept C135205223 @default.
- W3145795402 hasConcept C149782125 @default.
- W3145795402 hasConcept C162324750 @default.
- W3145795402 hasConcept C39432304 @default.
- W3145795402 hasConceptScore W3145795402C101104100 @default.
- W3145795402 hasConceptScore W3145795402C122342681 @default.
- W3145795402 hasConceptScore W3145795402C135205223 @default.
- W3145795402 hasConceptScore W3145795402C149782125 @default.
- W3145795402 hasConceptScore W3145795402C162324750 @default.
- W3145795402 hasConceptScore W3145795402C39432304 @default.
- W3145795402 hasLocation W31457954021 @default.
- W3145795402 hasOpenAccess W3145795402 @default.
- W3145795402 hasPrimaryLocation W31457954021 @default.
- W3145795402 hasRelatedWork W104415320 @default.
- W3145795402 hasRelatedWork W1488498738 @default.
- W3145795402 hasRelatedWork W1520233681 @default.
- W3145795402 hasRelatedWork W1565142231 @default.
- W3145795402 hasRelatedWork W2009187819 @default.
- W3145795402 hasRelatedWork W2039364161 @default.
- W3145795402 hasRelatedWork W2046053994 @default.
- W3145795402 hasRelatedWork W2092887758 @default.
- W3145795402 hasRelatedWork W2108216795 @default.
- W3145795402 hasRelatedWork W2109867960 @default.
- W3145795402 hasRelatedWork W2130631346 @default.
- W3145795402 hasRelatedWork W2247654585 @default.
- W3145795402 hasRelatedWork W2510136659 @default.
- W3145795402 hasRelatedWork W2904761263 @default.
- W3145795402 hasRelatedWork W2945185104 @default.
- W3145795402 hasRelatedWork W2952606357 @default.
- W3145795402 hasRelatedWork W3022365896 @default.
- W3145795402 hasRelatedWork W3124207603 @default.
- W3145795402 hasRelatedWork W3178085768 @default.
- W3145795402 hasRelatedWork W3125056861 @default.
- W3145795402 isParatext "false" @default.
- W3145795402 isRetracted "false" @default.
- W3145795402 magId "3145795402" @default.
- W3145795402 workType "article" @default.