Dorfleitner, Gregor and Wimmer, Maximilian (2010) The pricing of temperature futures at the Chicago Mercantile Exchange. Journal of Banking & Finance 34 (6), pp. 1360-1370.
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Other URL: http://dx.doi.org/10.1016/j.jbankfin.2009.12.004, http://ssrn.com/abstract=1520067
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 ...
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| Item type: | Article | ||||||||||
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| Date: | 1 June 2010 | ||||||||||
| Institutions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||||||||
| Interdisciplinary Subject Network: | Immobilien- und Kapitalmärkte | ||||||||||
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| Classification: |
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| Keywords: | Weather derivatives; Index modeling; Weather forecast; Futures pricing; Trading strategy | ||||||||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||||||||
| Status: | Published | ||||||||||
| Refereed: | Yes, this version has been refereed | ||||||||||
| Created at the University of Regensburg: | Yes | ||||||||||
| Item ID: | 9816 |
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