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...
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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 |
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crwiley:10.1002/asl.66 2024-06-02T08:11:10+00:00 Modelling changes in volatility in the North Atlantic oscillation Mills, Terence C. 2004 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 en eng Wiley http://onlinelibrary.wiley.com/termsAndConditions#vor Atmospheric Science Letters volume 5, issue 5, page 78-81 ISSN 1530-261X 1530-261X journal-article 2004 crwiley https://doi.org/10.1002/asl.66 2024-05-03T11:19:26Z 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 Article in Journal/Newspaper North Atlantic North Atlantic oscillation Wiley Online Library Atmospheric Science Letters 5 5 78 81 |
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Wiley Online Library |
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crwiley |
language |
English |
description |
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 |
format |
Article in Journal/Newspaper |
author |
Mills, Terence C. |
spellingShingle |
Mills, Terence C. Modelling changes in volatility in the North Atlantic oscillation |
author_facet |
Mills, Terence C. |
author_sort |
Mills, Terence C. |
title |
Modelling changes in volatility in the North Atlantic oscillation |
title_short |
Modelling changes in volatility in the North Atlantic oscillation |
title_full |
Modelling changes in volatility in the North Atlantic oscillation |
title_fullStr |
Modelling changes in volatility in the North Atlantic oscillation |
title_full_unstemmed |
Modelling changes in volatility in the North Atlantic oscillation |
title_sort |
modelling changes in volatility in the north atlantic oscillation |
publisher |
Wiley |
publishDate |
2004 |
url |
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 |
genre |
North Atlantic North Atlantic oscillation |
genre_facet |
North Atlantic North Atlantic oscillation |
op_source |
Atmospheric Science Letters volume 5, issue 5, page 78-81 ISSN 1530-261X 1530-261X |
op_rights |
http://onlinelibrary.wiley.com/termsAndConditions#vor |
op_doi |
https://doi.org/10.1002/asl.66 |
container_title |
Atmospheric Science Letters |
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5 |
container_issue |
5 |
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78 |
op_container_end_page |
81 |
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1800757202788548608 |