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Medientyp:
E-Book
Titel:
Adiabatic Genesis of Extreme Volatility Winter Regimes
:
Dynamic Moment Analysis of Non-Stationary Temperature Data for the Midwestern Natural Gas Market
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 29, 2011 erstellt
Beschreibung:
The static natural gas pricing model is proved no longer sufficient to capture and reflect the dynamics in temperature risks especially in Alberta temperature. 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 an additive 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 of energy products and agricultural crops in Alberta but also of importance for natural gas markets in the Midwest of the United States due to the extremely volatile Chinook winds