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Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory

✍ Scribed by Philippe, A.; Surgailis, D.; Viano, M.-C.

Book ID
118219890
Publisher
Society for Industrial and Applied Mathematics
Year
2008
Tongue
English
Weight
251 KB
Volume
52
Category
Article
ISSN
0040-585X

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## ABSTRACT The hedging of weather risks has become extremely relevant in recent years, promoting the diffusion of weather‐derivative contracts. The pricing of such contracts requires the development of appropriate models for the prediction of the underlying weather variables. Within this framework