메뉴 건너뛰기




Volumn 12, Issue 1, 2005, Pages 55-66

Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes

Author keywords

[No Author keywords available]

Indexed keywords

HYDROLOGICAL MODELING; RIVER DISCHARGE; SEASONAL VARIATION; STREAMFLOW;

EID: 14944349535     PISSN: 10235809     EISSN: None     Source Type: Journal    
DOI: 10.5194/npg-12-55-2005     Document Type: Article
Times cited : (90)

References (19)
  • 1
    • 42449156579 scopus 로고
    • Generalized Autoregressive Conditional Heteroscedasticity
    • Bollerslev, T.: Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, 307-327, 1986.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 2
    • 0004311217 scopus 로고
    • Time series analysis: Forecasting and control
    • San Francisco, Holden-Day
    • Box, G. E. P. and Jenkins, J. M.: Time series analysis: Forecasting and control, San Francisco, Holden-Day, 1976.
    • (1976)
    • Box, G.E.P.1    Jenkins, J.M.2
  • 3
    • 85071343664 scopus 로고    scopus 로고
    • A test for independence based on the correlation dimension
    • Brock, W. A., Dechert, W. D., Scheinkman, J. A., and LeBaron, B.: A test for independence based on the correlation dimension, Econ. Rev., 15, 3, 197-235, 1996.
    • (1996) Econ. Rev. , vol.15 , Issue.3 , pp. 197-235
    • Brock, W.A.1    Dechert, W.D.2    Scheinkman, J.A.3    LeBaron, B.4
  • 4
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation
    • Engle, R.: Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987-1008, 1982.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.1
  • 5
    • 0003688749 scopus 로고
    • An introduction to bilinear time series models
    • Göttingen, Vandenhoeck and Ruprecht
    • Granger, C. W. J. and Andersen, A. P.: An introduction to bilinear time series models, Göttingen, Vandenhoeck and Ruprecht, 1978.
    • (1978)
    • Granger, C.W.J.1    Andersen, A.P.2
  • 6
    • 85003034722 scopus 로고
    • Time series modelling of water resources and environmental systems
    • Elsvier, Amsterdam
    • Hipel, K. W. and McLeod, A. I.: Time series modelling of water resources and environmental systems, Elsvier, Amsterdam, 1994.
    • (1994)
    • Hipel, K.W.1    McLeod, A.I.2
  • 7
    • 0041077272 scopus 로고    scopus 로고
    • Prediction in ARMA models with GARCH-inmean effects
    • Karanasos, M.: Prediction in ARMA models with GARCH-inmean effects, Journal of Time Series Analysis, 22, 555-78, 2001.
    • (2001) Journal of Time Series Analysis , vol.22 , pp. 555-578
    • Karanasos, M.1
  • 8
    • 0000470953 scopus 로고
    • Recent advance in nonparametric function estimation - Hydrologic application
    • Lall, U.: Recent advance in nonparametric function estimation - hydrologic application, Reviews of Geophysics, 33, 1093-1102, 1995.
    • (1995) Reviews of Geophysics , vol.33 , pp. 1093-1102
    • Lall, U.1
  • 10
    • 0017846358 scopus 로고
    • On a measure of lack of fit in time series models
    • Ljung, G. M. and Box, G. E. P.: On a measure of lack of fit in time series models, Biometrika, 65, 297-303, 1978.
    • (1978) Biometrika , vol.65 , pp. 297-303
    • Ljung, G.M.1    Box, G.E.P.2
  • 11
    • 84986777926 scopus 로고
    • Diagnostic checking ARMA time series models using squared residual autocorrelations
    • McLeod, A. I. and Li, W. K.: Diagnostic checking ARMA time series models using squared residual autocorrelations, Journal of Time Series Analysis, 4, 269-273, 1983.
    • (1983) Journal of Time Series Analysis , vol.4 , pp. 269-273
    • McLeod, A.I.1    Li, W.K.2
  • 12
    • 0040054703 scopus 로고
    • Book review on "An Introduction to Bilinear Time Series Models" by Granger, C. W. and Andersen, A. P
    • Miller, R. B.: Book review on "An Introduction to Bilinear Time Series Models" by Granger, C. W. and Andersen, A. P., J. Amer. Statist. Ass., 74, 927, 1979.
    • (1979) J. Amer. Statist. Ass. , vol.74 , pp. 927
    • Miller, R.B.1
  • 13
    • 54649084575 scopus 로고    scopus 로고
    • Fractionally Integrated Models With ARCH Errors: With an Application to the Swiss 1-Month Euromarket Interest Rate
    • Hauser, M. A. and Kunst, R. M.: Fractionally Integrated Models With ARCH Errors: With an Application to the Swiss 1-Month Euromarket Interest Rate, Review of Quantitative Finance and Accounting, 10, 95-113, 1998.
    • (1998) Review of Quantitative Finance and Accounting , vol.10 , pp. 95-113
    • Hauser, M.A.1    Kunst, R.M.2
  • 14
    • 0001805672 scopus 로고
    • Analysis and modelling of hydrologic time series
    • edited by Maidment, D. R., McGraw-Hill
    • Salas, J. D.: Analysis and modelling of hydrologic time series. In: Handbook of Hydrology, edited by Maidment, D. R., McGraw-Hill, 19.1-19.72, 1993.
    • (1993) Handbook of Hydrology
    • Salas, J.D.1
  • 15
    • 1542751550 scopus 로고    scopus 로고
    • Flood quantiles in a changing climate: Seasonal forecasts and causal relations
    • Art. No. 1134
    • Sankarasubramanian, A. and Lall, U.: Flood quantiles in a changing climate: Seasonal forecasts and causal relations, Water Resources Research, 39, 5, Art. No. 1134, 2003.
    • (2003) Water Resources Research , vol.39 , pp. 5
    • Sankarasubramanian, A.1    Lall, U.2
  • 16
    • 0029731382 scopus 로고    scopus 로고
    • Autoregressive conditional heteroscedasticity in daily temperature measurements
    • Tol, R. J. S.: Autoregressive conditional heteroscedasticity in daily temperature measurements, Environmetrics, 7, 67-75, 1996.
    • (1996) Environmetrics , vol.7 , pp. 67-75
    • Tol, R.J.S.1
  • 17
    • 14944379769 scopus 로고    scopus 로고
    • Periodic autoregressive models applied to daily streamflow
    • edited by Liong, S. Y., Phoon, K. K. and Babovic, V., Singapore, World Scientific
    • Wang, W., Van Gelder, P. H. A. J. M., and Vrijling, J. K.: Periodic autoregressive models applied to daily streamflow. In: 6th International Conference on Hydroinformatics, edited by Liong, S. Y., Phoon, K. K. and Babovic, V., Singapore, World Scientific, 1334-1341, 2004.
    • (2004) 6th International Conference on Hydroinformatics , pp. 1334-1341
    • Wang, W.1    Van Gelder, P.H.A.J.M.2    Vrijling, J.K.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.