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Comparing Temperature Density Forecasts from GARCH and Atmospheric Models

Abstract:

Density forecasts for weather variables are useful for the many industries exposed to weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. The distribution of the scenarios can be used as a density forecast, which is needed for pricing weather derivatives. We consider one to 10-day-ahead density forecasts provided by temperature ensemble predictions. More specifically, we evaluate forecasts of the mea...

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Publication date:
2004-08-01
UUID:
uuid:e70f3907-de51-4ac9-8c05-33d76bb53bbc
Local pid:
oai:eureka.sbs.ox.ac.uk:1722
Deposit date:
2012-01-25

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