Modelling changes in volatility in the North Atlantic oscillation
Abstract The NAO index constructed from 1659 by Luterbacher et al. ( 2002 ) is analysed using time series techniques designed to model long memory and volatility. The index is found to have a positively correlated short memory in mean and to exhibit long memory in conditional variance: the ‘volatili...
| Published in: | Atmospheric Science Letters |
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| Main Author: | |
| Format: | Article in Journal/Newspaper |
| Language: | English |
| Published: |
Wiley
2004
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| Online Access: | http://dx.doi.org/10.1002/asl.66 https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1002%2Fasl.66 https://rmets.onlinelibrary.wiley.com/doi/pdf/10.1002/asl.66 |
| Summary: | Abstract The NAO index constructed from 1659 by Luterbacher et al. ( 2002 ) is analysed using time series techniques designed to model long memory and volatility. The index is found to have a positively correlated short memory in mean and to exhibit long memory in conditional variance: the ‘volatility’ of the series. Copyright © 2004 Royal Meteorological Society |
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