communication: Going hybrid: a joint model for temperature and natural gas
speaker: Roberto Bavieraspeaker: Teodoro Mainetti
abstract: Natural gas spot prices and temperatures have been studied in detail in the literature as separate processes. We propose a simple joint model that, in spite of its parsimony, describes accurately many stylized facts of the two time series: in particular we show the role played by a time-delay parameter in order to take into account the impact of temperature forecast in cross-dependency. We discuss in detail a stepwise procedure in order to calibrate model parameters, describing the elementary estimation techniques involved and the statistical accuracy achieved. In the analysis we focus on the benchmark market in the U.S.A. (Henry Hub) and the temperatures in the Northeast and Midwest regionsÍž we observe a negative, statistically significant, gas-temperature correlation in the cold season.
timetable:
Fri 29 Jan, 14:00 - 15:30, Sala Stemmi
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