| dc.contributor | 金融系 | - |
| dc.creator (作者) | 楊曉文 | - |
| dc.creator (作者) | Yang, Sharon S. | - |
| dc.creator (作者) | 黄志偉 | - |
| dc.creator (作者) | Huang, Jr-Wei | - |
| dc.creator (作者) | 張傳章 | - |
| dc.creator (作者) | Chang, Chuang-Chang | - |
| dc.date (日期) | 2018-05 | - |
| dc.date.accessioned | 26-May-2020 10:53:02 (UTC+8) | - |
| dc.date.available | 26-May-2020 10:53:02 (UTC+8) | - |
| dc.date.issued (上傳時間) | 26-May-2020 10:53:02 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/129826 | - |
| dc.description.abstract (摘要) | This article investigates temperature behavior to develop a temperature model. The proposed ARFIMA Seasonal GARCH model that allows for long memory effects and other important temperature properties provides better goodness of fits and forecasting accuracy using daily average temperatures in six U.S. cities. The effect of temperature behavior on pricing temperature derivatives is analyzed. We propose an equilibrium option pricing framework for HDD and CDD forward and option contracts under the ARFIMA Seasonal GARCH model. The investigation of temperature properties and the valuation framework in this study contributes to the development of a standardized temperature model for weather derivative markets. | - |
| dc.format.extent | 456475 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Futures Markets, Vol.38, No.9, pp.1152-1175 | - |
| dc.subject (關鍵詞) | equilibrium pricing ; long memory ; temperature derivatives | - |
| dc.title (題名) | Modeling Temperature Behaviors: Application to Weather Derivative Valuation | - |
| dc.type (資料類型) | 期刊論文 | - |
| dc.identifier.doi (DOI) | 10.1002/fut.21923 | - |
| dc.doi.uri (DOI) | https://doi.org/10.1002/fut.21923 | - |
