Institutional Repository

Dynamic moment analysis of non-stationary temperature data in Alberta

DSpace/Manakin Repository

Show simple item record

dc.contributor.advisor Asem, Ebenezer
dc.contributor.author Zhou, Qixuan
dc.date.accessioned 2012-06-26T20:34:58Z
dc.date.available 2012-06-26T20:34:58Z
dc.date.issued 2010
dc.identifier.uri http://hdl.handle.net/10133/3097
dc.description 64 leaves : map ; 29 cm en_US
dc.description.abstract 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. en_US
dc.language.iso en_US en_US
dc.publisher Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010 en_US
dc.relation.ispartofseries Thesis (University of Lethbridge. Faculty of Management) en_US
dc.subject Temperature -- Seasonal variations -- Alberta en_US
dc.subject Alberta -- Climate -- Economic aspects en_US
dc.subject Chinook winds -- Economic aspects -- Alberta en_US
dc.subject Weather derivatives -- Valuation en_US
dc.subject Weather -- Economic aspects en_US
dc.subject Temperature -- Economic aspects en_US
dc.subject Meteorology -- Statistical methods en_US
dc.subject Dissertations, Academic en_US
dc.title Dynamic moment analysis of non-stationary temperature data in Alberta en_US
dc.type Thesis en_US
dc.publisher.faculty Management en_US

Files in this item

This item appears in the following Collection(s)

Show simple item record

Related Items

Search DSpace


Advanced Search

Browse

My Account

Statistics