Blar i AURA på forfatter "Benth, Jūratė Šaltytė"
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A critical view on temperature modelling for application in weather derivatives markets
Benth, Jūratė Šaltytė; Benth, Fred Espen (Journal article; Peer reviewed, 2012)In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated ...