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Croatian Review of Economic, Business and Social Statistics
Volume 6 (2020): Issue 1 (May 2020)
Open Access
Ornstein-Uhlenbeck process and GARCH model for temperature forecasting in weather derivatives valuation
Berislav Žmuk
Berislav Žmuk
University of Zagreb, Faculty of Economics and Business, Department of Statistics
Zagreb, Croatia
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Žmuk, Berislav
and
Matej Kovač
Matej Kovač
Croatia
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Kovač, Matej
Jun 08, 2020
Croatian Review of Economic, Business and Social Statistics
Volume 6 (2020): Issue 1 (May 2020)
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Published Online:
Jun 08, 2020
Page range:
27 - 42
Received:
Apr 03, 2020
Accepted:
May 10, 2020
DOI:
https://doi.org/10.2478/crebss-2020-0003
Keywords
GARCH model
,
MAPE
,
Ornstein-Uhlenbeck process
,
RMSE
,
temperature forecasting
,
weather derivatives
© 2020 Berislav Žmuk et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
