Go to content
UR Home

The pricing of temperature futures at the Chicago Mercantile Exchange

URN to cite this document:
urn:nbn:de:bvb:355-epub-98169
Dorfleitner, Gregor ; Wimmer, Maximilian
[img]
Preview
PDF
Slides
(210kB)
[img]
Preview
PDF
Preprint
(485kB)
Date of publication of this fulltext: 04 Dec 2009 11:22


Abstract

This paper analyzes observed prices of U.S. temperature futures at the Chicago Mercantile Exchange (CME). Results show that an index modeling approach without detrending captures the prices exceptionally well. Moreover, weather forecasts significantly influence prices up to 11 days ahead. It is shown that valuations of temperature futures relying on a model without detrending yield biased ...

plus


Owner only: item control page
  1. Homepage UR

University Library

Publication Server

Contact:

Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons