Benth, Fred Espen; Saltyte-Benth, Jurate - In: Applied Mathematical Finance 12 (2005) 1, pp. 53-85
Daily average temperature variations are modelled with a mean-reverting Ornstein-Uhlenbeck process driven by a generalized hyperbolic Levy process and having seasonal mean and volatility. It is empirically demonstrated that the proposed dynamics fits Norwegian temperature data quite...