Research Article
Modeling Temperature and Pricing Weather Derivatives Based on Temperature
Table 3
Parameter estimation for HDD calculations.
| City | Year | A | B | C | Phase | b | Gamma_0 | Gamma_1 | Fast_Inten | Fast_Mean | Fast_sd | Slow_Inten | Slow_Mean | Slow_sd | Beta |
| Ankara | 5 | 50.19 | 0.001854 | 21.32 | −2.77 | 0.193962 | 95.952994 | 0.9637143 | 0.0016438 | −0.5543834 | 0.4924429 | 0.0054795 | −6.1314104 | 5.1345993 | 0.3835657 | Beijing | 5 | 56.73248 | −0.00176 | 27.72651 | −2.89336 | 0.372348 | 66.177766 | 0.9800345 | 0 | 0 | 0 | 0.00109589 | −3.161959 | 2.420366 | 0.47568 | Cairo | 29 | 70.23189 | 0.000344 | 13.68758 | −2.72869 | 0.345847 | 239.81369 | 0.9547672 | 0.0042513 | −0.4124696 | 1.585721 | 0.00302315 | −1.690717 | 2.075651 | 0.703044 | Chicago | 15 | 50.57 | 0.00014 | 24.71 | −2.79 | 0.271967 | 117.25 | 0.961314 | 0.004414 | −3.119119 | 2.524564 | 0.005632 | −6.375580 | 5.517740 | 0.343206 | Dallas | 34 | 65.31678 | 0.000232 | 20.00168 | −2.83072 | 0.298336 | 294.61489 | 0.936274 | 0.0045931 | −2.4987494 | 2.391683 | 0.00604351 | −6.1932845 | 4.966445 | 0.291944 | Istanbul | 9 | 58.54 | 0.00081 | 18.12 | −2.67 | 0.237101 | 184.55 | 0.947974 | 0.004262 | −0.958549 | 2.047743 | 0.002740 | −3.133173 | 1.813471 | 0.562597 | Los Angeles | 21 | 63.82858 | −0.0001 | 6.651395 | −2.4675 | 0.230077 | 338.75801 | 0.9166473 | 0.0062622 | 0.3575345 | 1.352837 | 0.01108937 | 0.81062689 | 2.798516 | 0.460403 | New York | 7 | 54.63592 | 0.000548 | 21.77908 | −2.71524 | 0.286476 | 165.02405 | 0.9447895 | 0.0015656 | −1.6825421 | 2.360227 | 0.00508806 | −3.8112152 | 3.30503 | 0.684576 | Paris | 6 | 54.58335 | −0.00122 | 15.45061 | −2.83361 | 0.21059 | 147.12152 | 0.9490173 | 0.0054795 | −0.0954452 | 1.895953 | 0.00547945 | −1.67898 | 3.505224 | 0.554255 | Sydney | 37 | 63.451 | 0.000154 | 9.494916 | −2.8139 | 0.647759 | 526.99911 | 0.876059 | 0.0146612 | 1.5064313 | 2.606529 | 0.0033321 | 1.5601199 | 3.226385 | 0.911471 | Tokyo | 8 | 61.22 | 0.000375 | 18.38 | −2.61866 | 0.530895 | 180.28 | 0.954846 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | Washington | 34 | 58.62177 | | 21.75468 | −2.79459 | 0.279335 | 173.30119 | 0.9524289 | 0.0045125 | −1.9805768 | 1.755655 | 0.00354553 | −4.9014241 | 4.06658 | 0.388133 |
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Year represents amount of data in years that produced best estimation results. sd means standard deviation.
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