Modeling asymmetric volatility in weekly Dutch temperature data
نویسندگان
چکیده
منابع مشابه
Modeling asymmetric volatility in weekly Dutch temperature data
In addition to clear-cut seasonality in mean and variance, weekly Dutch temperature data appear to have a strong asymmetry in the impact of unexpectedly high or low temperatures on conditional volatility. Furthermore, this asymmetry also shows fairly pronounced seasonal variation. To describe these features, we propose a univariate seasonal time series model with asymmetric This paper was prepa...
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ژورنال
عنوان ژورنال: Environmental Modelling & Software
سال: 2001
ISSN: 1364-8152
DOI: 10.1016/s1364-8152(00)00076-1