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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Published in:Atmospheric Science Letters
Main Author: Mills, Terence C.
Format: Article in Journal/Newspaper
Language:English
Published: Wiley 2004
Subjects:
North Atlantic
North Atlantic oscillation
Online Access:http://dx.doi.org/10.1002/asl.66
https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1002%2Fasl.66
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spelling 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
institution Open Polar
collection Wiley Online Library
op_collection_id 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
container_volume 5
container_issue 5
container_start_page 78
op_container_end_page 81
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