Dynamic moment analysis of non-stationary temperature data in Alberta

Strong seasonality is observed in the volatile hourly Alberta temperature and its low- and high-order statistical moments. We propose a time series model consisting of a linear combination of an annual sinusoidal model, a diurnal sinusoidal model and a fractional residual model, to study the characteristics of these spatial and time-dependent Alberta temperatures. Wavelet multi-resolution analysis is used to measure Hurst exponents of the temperature series. Our empirical results show that these Hurst exponents vary over various time scales, indicating the existence of multi-fractality in the temperatures. Such temperature models are of importance for the pricing and insurance of agricultural crops, of tourist resorts and of all forms of energy extraction and generation of importance to the resource-based economy of Alberta. Of particular interests are the observed extreme volatilities in the winters, caused by the unpredictable Chinook winds, which may be an important reason to introduce a Chinook insurance option.

Grantor dc:publisher

Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010

Year dc:date.issued

2010

Author dc:creator

• Zhou, Qixuan

Advisor dc:contributor.supervisor

• Asem, Ebenezer

• Temperature -- Seasonal variations -- Alberta
• Alberta -- Climate -- Economic aspects
• Chinook winds -- Economic aspects -- Alberta
• Weather derivatives -- Valuation
• Weather -- Economic aspects
• Temperature -- Economic aspects
• Meteorology -- Statistical methods
• Dissertations, Academic

Language dc:language.iso

en_US

Identifier

hdl:10133/3097

OAI record oai:identifier

https://opus.uleth.ca/server/oai/request?verb=GetRecord&metadataPrefix=dim&identifier=oai%3Aopus.uleth.ca%3A10133%2F3097