Modeling the relationship between climate oscillations and drought by a multivariate GARCH model.
Typical multivariate time series models may exhibit comovement in mean but not in variance of hydrologic and climatic variables. This paper introduces multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models to capture the comovement of the variance or the conditional co...
Published in: | Water Resources Research |
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Main Authors: | , |
Format: | Article in Journal/Newspaper |
Language: | English |
Published: |
2014
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Subjects: | |
Online Access: | https://espace.inrs.ca/id/eprint/3633/ https://espace.inrs.ca/id/eprint/3633/1/P2477.pdf https://doi.org/10.1002/2013WR013810 |