کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090110 1375617 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The pricing of temperature futures at the Chicago Mercantile Exchange
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The pricing of temperature futures at the Chicago Mercantile Exchange
چکیده انگلیسی
This paper analyzes observed prices of US 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 valuations by overpricing winter contracts and underpricing summer contracts. Several trading strategies are devised to exploit the mispricing observed at the CME and to demonstrate that speculating on temperature futures can not only generate high overall returns, but also perform well on a risk-adjusted basis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 6, June 2010, Pages 1360-1370
نویسندگان
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