Long memory in surface air temperature: Detection, modeling, and application to weather derivative valuation

Climate Research

Volumn 21, Issue 2, 2002, Pages 127-140

  Caballero, Rodrigo ^a   Jewson, Stephen ^a   Brix, Anders ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Long memory; Surface temperature; Weather derivative

Indexed keywords

AIR TEMPERATURE; ATMOSPHERIC MODELING; SURFACE TEMPERATURE; TIME SERIES;

EID: 0037077324     PISSN: 0936577X     EISSN: None     Source Type: Journal    
DOI: 10.3354/cr021127     Document Type: Article

References (37)

1. A test of location for data with slowly decaying serial correlations
2. Statistics for long-memory processes
3. Trends in global temperature
4. Climate spectra and stochastic climate models
5. Long memory relationships and the aggregation of dynamical models
6. An introduction to long-range time series models and fractional differencing
7. The probability density distribution of planetary-scale atmospheric wave amplitude revisited
8. Space-time modelling with long memory dependence: Assessing Ireland's wind power resource
9. Stochastic climate models. Part I: Theory
10. Fractional differencing
11. Long-term storage capacity of reservoirs
12. Soft turbulent state of the atmospheric boundary layer
13. Use of GCM forecasts in financial-meteorological models
14. Overdispersion phenomenon in stochastic modeling of precipitation
15. Analysis of daily temperature fluctuations
16. Low-frequency variability of surface air temperature in a 1000-year integration of a coupled atmosphere-ocean-land surface model
17. Some long-run properties of geophysical records
18. Some long-run properties of rainfall records in Italy
19. A new daily Central England temperature time series, 1772-1991
20. Analysis and modelling of the natural variability of climate
21. Long-range correlations in nucleotide sequences
22. Mosaic organization of DNA nucleotides
23. Oceanic forcing of the wintertime North Atlantic oscillation and European climate
24. Potential for long-range predictability of monthly-mean surface temperatures over North America
25. The life cycles of some non-linear baroclinic waves
26. Is the North Atlantic Oscillation a random walk?
27. Scaling and persistence in observed and modeled surface temperature
28. Estimators for long-range dependence: An empirical study
29. Testing for long-range dependence in the presence of shifting means or a slowly declining trend using a variance type estimator
30. Long-range correlations in the extratropical atmospheric circulation: Origins and implications
31. Teleconnections in the geopotential height field during the northern hemisphere winter
32. Weather derivatives and weather insurance: Concept, application and analysis