  We study historical calibration of one- and two-factor models that are known
to describe relatively well the dynamics of energy underlyings such as spot and
index natural gas or oil prices at different physical locations or regional
power prices. We take into account uneven frequency of data due to weekends,
holidays, and possible missing data. We study the case when several one- and
two-factor models are used in the joint model with correlated model factors and
present examples of joint calibration for daily natural gas prices at several
locations in the US and for regional hourly power prices.
