Weather derivative instruments. Property analysis of the basic instruments

Mentel, Grzegorz; Bilan, Yuriy; Szetela, Beata; Mentel, Urszula

dc.title	Weather derivative instruments. Property analysis of the basic instruments	en
dc.contributor.author	Mentel, Grzegorz
dc.contributor.author	Bilan, Yuriy
dc.contributor.author	Szetela, Beata
dc.contributor.author	Mentel, Urszula
dc.relation.ispartof	Economic Computation and Economic Cybernetics Studies and Research
dc.identifier.issn	0424-267X Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued	2021
utb.relation.volume	55
utb.relation.issue	2
dc.citation.spage	79
dc.citation.epage	97
dc.type	article
dc.language.iso	en
dc.publisher	Academy of Economic Studies from Bucharest
dc.identifier.doi	10.24818/18423264/55.2.21.05
dc.relation.uri	http://ecocyb.ase.ro/nr2021_2/5.%20Grzegorz%20MENTEL,Yuriy%20Bilan%20revised.pdf
dc.subject	weather	en
dc.subject	derivative instruments	en
dc.subject	risk	en
dc.description.abstract	The issues of weather risk management, and more specifically the problem of protecting against it in terms of the so-called weather financial instruments are the subject of this paper. The article is devoted to the characteristics of the temperature weather factor as a base instrument in terms of meteorological forecasts. It refers to the methodology of weather forecasts in the light of their usefulness, statistical analysis of the properties of the selected weather factor and the nature of the variability of weather indexes. © 2021, Bucharest University of Economic Studies. All rights reserved.	en
utb.faculty	Faculty of Management and Economics
dc.identifier.uri	http://hdl.handle.net/10563/1010415
utb.identifier.obdid	43882609
utb.identifier.scopus	2-s2.0-85108816472
utb.identifier.wok	000661631600005
utb.source	j-scopus
dc.date.accessioned	2021-07-09T11:31:05Z
dc.date.available	2021-07-09T11:31:05Z
utb.contributor.internalauthor	Bilan, Yuriy
utb.fulltext.affiliation	Grzegorz MENTEL, PhD, DSc (Corresponding author) Department of Quantitative Methods University of Information Technology and Management in Rzeszow E-mail: gmentel@wsiz.edu.pl Yuriy BILAN, PhD, DSc Tomas Bata University in Zlin, Zlin, Czech Republic Sumy State University, Sumy, Ukraine E-mail: y.bilan@prz.edu.pl Beata SZETELA, PhD Department of Quantitative Methods Rzeszow University of Technology, Rzeszow, Poland E-mail: beata@prz.edu.pl Urszula MENTEL, MBA Department of Projects Management and Security Policy Rzeszow University of Technology, Rzeszow, Poland E-mail: u.mentel@prz.edu.pl
utb.fulltext.dates	-
utb.fulltext.references	[1] Banks, E. (2002), Weather Risk Management. Market, Products and Applications. Palgrave Macmillan, UK; [2] Bilan, Y., Mentel, G., Streimikiene, D., Szetela, B. (2020), Weather Risk Management in the Weather-VaR Approach. Assumptions of Value-at-Risk Modeling. Economic Computation and Economic Cybernetics Studies and Research, 1/2020; ASE Publishing, Bucharest; [3] Breusch, T., Pagan, A. (1979), A Simple Test of Heteroskedasticity and Random Coefficient Variation. Econometrica, no. 47, 1287-1294; [4] Campbell, S. i Diebold, F. (2005, March), Weather Forecasting for Weather Derivatives. Journal of the American Statistical Association, no. 100(469); [5] Corbally, M. i Dang, P. (2002), Underlying Markets and Indexes. W E. Banks, Weather Risk Management: Markets, Products and Applications. New York: Palgrave, 87-104; [6] Endress, T. (2018), Deliberated Intuition in Stock Price Forecasting. Economics and Sociology, 11(3), 11-27. doi:10.14254/2071-789X.2018/11-3/1 [7] Engle, R. (1982), Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica, no. 50; [8] Forrest, P. (2002), A Case Study of Heating Oil Partners. Weather Hedging Experience, [in:] Dischel, B. (ed.), Climate Risk and the Weather Market, Risk Books; [9] Göncü, A. (2012), Pricing Temperature-based Weather Derivatives in China. The Journal of Risk Finance, no. 13(1), 2-44; [10] Henderson, R. (2002), Pricing Weather Risk, [in:] E. Banks (ed.), Weather Risk Management. Palgrave; [11] Hull, J. (2009), Options, futures and other derivatives. New Jersy: Pearson Education Inc. [12] Jewson, S. (2001), Weather Risk and Weather Data. Environmental Finance, no. 2-3; [13] Jewson, S. (2002), The Use of Weather Forecast in the Pricing of Weather Derivatives. Meteorological Applications, no. 3; [14] Jewson, S., Brix, A. (2010), Weather Derivative Valuation. The Meteorological, Statistical, Financial and Mathematical Foundations. Cambridge University Press, Cambridge; [15] Kupczyk, J. (2003), Analiza ekonometryczna indeksów pogodowych instrumentów pochodnych. Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 1006; [16] L´opez Cabrera, B. i Hardle, W. (2007), Weather Derivatives. Berlin: CASECenter for Applied Statistics and Economics, Humboldt-Universitat zu Berlin; [17] Majewska, A. (2013), Instrumenty pochodne jako narzędzia wspomagające zarządzanie ryzykiem w przedsiębiorstwie. Szczecin: Volumina.pl; [18] Melonek, M. (2011), Porównanie wyników weryfikacji modeli numerycznych prognoz pogody działających operacyjnie w ICM, Infrastruktura i Ekologia Terenów Wiejskich, no. 6, 31-42; [19] Mentel, G., (2017), Wartość zagrożona jako instrument zarządzania ryzykiem pogodowym. Oficyna Wydawnicza Politechniki Rzeszowskiej; [20] National Oceanic & Atmospheric Administration, U.S. Department of Commerce (2016). Earth System Research Laboratory - Physical Science Division, http://www.cdc.noaa.gov/map/images/ens/ens.html; [21] Oliinyk, V. & Kozmenko, S. (2019), Forecasting and Management of Gross Domestic Product. Journal of International Studies, 12(4), 214-228. doi:10.14254/2071-8330.2019/12-4/14; [22] Preś, J. (2007), Zarządzanie ryzykiem pogodowym. CeDeWu, Warszawa; [23] Schulzweida, U. i Quast, R. (2005). Climate indices with CDO. Climate indices of daily temperature and precipitation extremes. CDO; [24] Shorter, J., Crawford, T., Boucher, R. (2002), Skillful Seasonal Degree Day Forecasts and Their Utility in the Weather Derivatives Market. 16th Conference on Probability and Statistics in the Atmospheric Science; [25] Tarczyński, W., Majewski, S., Tarczyńska-Łuniewska, M., Majewska, A., Mentel, G. (2021), The Impact of Weather Factors on Quotations of Energy SectorCompanies on Warsaw Stock Exchange. Energies, 14(1536). doi:10.3390/en14061536; [26] Unisys Weather Information Systems (2016); http://weather.unisys.com/ecmwf ; [27] Zeng, L., Perry, K.D. (2002), Managing a Portfolio of Weather Derivatives, [in:] Dischel, B. (ed.), Climate Risk and the Weather Market. Risk Books; [28] Ziehman, C., Brix, A., Jewson, S. (2002), Use of Meteorological Forecast in Weather Derivative Pricing, [in:] Dischel, B. (ed.), Climate Risk and the Weather Market. Risk Books.
utb.fulltext.sponsorship	-
utb.wos.affiliation	[Mentel, Grzegorz] Univ Informat Technol & Management Rzeszow, Dept Quantitat Methods, Rzeszow, Poland; [Bilan, Yuriy] Tomas Bata Univ Zlin, Zlin, Czech Republic; [Bilan, Yuriy] Sumy State Univ, Sumy, Ukraine; [Szetela, Beata] Rzeszow Univ Technol, Dept Quantitat Methods, Rzeszow, Poland; [Mentel, Urszula] Rzeszow Univ Technol, Dept Projects Management & Secur Policy, Rzeszow, Poland
utb.scopus.affiliation	Department of Quantitative Methods, University of Information Technology and Management in Rzeszow, Rzeszow, Poland; Tomas Bata University in Zlin, Zlin, Czech Republic; Sumy State University, Sumy, Ukraine; Department of Quantitative Methods, Rzeszow University of Technology, Rzeszow, Poland; Department of Projects Management and Security Policy, Rzeszow University of Technology, Rzeszow, Poland
utb.fulltext.projects	-
utb.identifier.jel	C10
utb.identifier.jel	C50
utb.identifier.jel	G10
utb.identifier.jel	G32