Tail Risk in Weather Derivatives

Weather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian models overlook. Using daily data from 13 major U...

Full description

Bibliographic Details
Published in:Commodities
Main Authors: Tuoyuan Cheng, Saikiran Reddy Poreddy, Kan Chen
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Subjects:
heating degree day
cooling degree day
extreme value theory
vine copula
value-at-risk
expected shortfall
Online Access:https://www.mdpi.com/2813-2432/4/2/11

Internet

https://www.mdpi.com/2813-2432/4/2/11

Similar Items