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Showing 1 to 1 of 1 for “"continuous autoregressive model"”.
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Pricing of Asian temperature risk
… of a fourier truncated series with a GARCH model and with a local linear regression. By calibrating model prices, we implied the MPR from Cumulative total of 24-hour average temperature futures (C24AT) for Japanese Cities, or by knowing the formal dependence of MPR on seasonal variation, we …