A joint model for temperature and natural gas with an application to the US market

DOI10.1080/14697688.2016.1247981zbMath1402.91537OpenAlexW2556235365MaRDI QIDQ4555118

Teodoro Federico Mainetti, Roberto Baviera

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11311/1002960

zbMATH Keywords

seasonalityjoint modelstatistical bootstraptemperature forecast

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

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• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• The volatility of temperature and pricing of weather derivatives
• Weather Forecasting for Weather Derivatives

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