Volatility in Rainfall and Predictability of Droughts in Northwest Bangladesh
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mohammad Naser Sediqi & Mohammed Sanusi Shiru & Mohamed Salem Nashwan & Rawshan Ali & Shadan Abubaker & Xiaojun Wang & Kamal Ahmed & Shamsuddin Shahid & Md. Asaduzzaman & Sayed Mir Agha Manawi, 2019. "Spatio-Temporal Pattern in the Changes in Availability and Sustainability of Water Resources in Afghanistan," Sustainability, MDPI, vol. 11(20), pages 1-17, October.
- Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013.
"On loss functions and ranking forecasting performances of multivariate volatility models,"
Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
- Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers 2009s-45, CIRANO.
- Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," Cahiers de recherche 0948, CIRPEE.
- Mohammed Sanusi Shiru & Shamsuddin Shahid & Noraliani Alias & Eun-Sung Chung, 2018. "Trend Analysis of Droughts during Crop Growing Seasons of Nigeria," Sustainability, MDPI, vol. 10(3), pages 1-13, March.
- Daniel L. Swain & Baird Langenbrunner & J. David Neelin & Alex Hall, 2018. "Increasing precipitation volatility in twenty-first-century California," Nature Climate Change, Nature, vol. 8(5), pages 427-433, May.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Femke J. M. M. Nijsse & Peter M. Cox & Chris Huntingford & Mark S. Williamson, 2019. "Decadal global temperature variability increases strongly with climate sensitivity," Nature Climate Change, Nature, vol. 9(8), pages 598-601, August.
- Richard Damania & Sébastien Desbureaux & Marie Hyland & Asif Islam & Scott Moore & Aude-Sophie Rodella & Jason Russ & Esha Zaveri, 2017. "Uncharted Waters," World Bank Publications - Books, The World Bank Group, number 28096.
- Morteza Mohsenipour & Shamsuddin Shahid & Eun-sung Chung & Xiao-jun Wang, 2018. "Changing Pattern of Droughts during Cropping Seasons of Bangladesh," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 32(5), pages 1555-1568, March.
- Sumaiya Jarin Ahammed & Eun-Sung Chung & Shamsuddin Shahid, 2018. "Parametric Assessment of Pre-Monsoon Agricultural Water Scarcity in Bangladesh," Sustainability, MDPI, vol. 10(3), pages 1-18, March.
- Xingyi Li & Valeriy Zakamulin, 2020. "Stock volatility predictability in bull and bear markets," Quantitative Finance, Taylor & Francis Journals, vol. 20(7), pages 1149-1167, July.
- Xiao-jun Wang & Jian-yun Zhang & Shahid Shamsuddin & Ru-lin Oyang & Tie-sheng Guan & Jian-guo Xue & Xu Zhang, 2017. "Impacts of climate variability and changes on domestic water use in the Yellow River Basin of China," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 22(4), pages 595-608, April.
- Hsin-Fu Yeh & Hsin-Li Hsu, 2019. "Using the Markov Chain to Analyze Precipitation and Groundwater Drought Characteristics and Linkage with Atmospheric Circulation," Sustainability, MDPI, vol. 11(6), pages 1-18, March.
- Sahar Hadi Pour & Ahmad Khairi Abd Wahab & Shamsuddin Shahid & Xiaojun Wang, 2019. "Spatial Pattern of the Unidirectional Trends in Thermal Bioclimatic Indicators in Iran," Sustainability, MDPI, vol. 11(8), pages 1-24, April.
- Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
- Jang Hyun Sung & Eun-Sung Chung & Shamsuddin Shahid, 2018. "Reliability–Resiliency–Vulnerability Approach for Drought Analysis in South Korea Using 28 GCMs," Sustainability, MDPI, vol. 10(9), pages 1-16, August.
- Kate Marvel & Benjamin I. Cook & Céline J. W. Bonfils & Paul J. Durack & Jason E. Smerdon & A. Park Williams, 2019. "Twentieth-century hydroclimate changes consistent with human influence," Nature, Nature, vol. 569(7754), pages 59-65, May.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mahiuddin Alamgir & Morteza Mohsenipour & Rajab Homsi & Xiaojun Wang & Shamsuddin Shahid & Mohammed Sanusi Shiru & Nor Eliza Alias & Ali Yuzir, 2019. "Parametric Assessment of Seasonal Drought Risk to Crop Production in Bangladesh," Sustainability, MDPI, vol. 11(5), pages 1-17, March.
- Bauer, Rob M M J & Nieuwland, Frederick G M C & Verschoor, Willem F C, 1994. "German Stock Market Dynamics," Empirical Economics, Springer, vol. 19(3), pages 397-418.
- Mohammed Magdy Hamed & Najeebullah Khan & Mohd Khairul Idlan Muhammad & Shamsuddin Shahid, 2022. "Ranking of Empirical Evapotranspiration Models in Different Climate Zones of Pakistan," Land, MDPI, vol. 11(12), pages 1-18, November.
- Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004.
"The Use of GARCH Models in VaR Estimation,"
MPRA Paper
96332, University Library of Munich, Germany.
- Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2010. "The Use of GARCH Models in VaR Estimation," Working Papers 0048, University of Peloponnese, Department of Economics.
- Rangel, José Gonzalo, 2011.
"Macroeconomic news, announcements, and stock market jump intensity dynamics,"
Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
- Rangel José Gonzalo, 2009. "Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics," Working Papers 2009-15, Banco de México.
- Drost, Feike C. & Werker, Bas J. M., 1996.
"Closing the GARCH gap: Continuous time GARCH modeling,"
Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
- Drost, F.C. & Werker, B.J.M., 1994. "Closing the GARCH gap : Continuous time GARCH modeling," Discussion Paper 1994-2, Tilburg University, Center for Economic Research.
- Drost, F.C. & Werker, B.J.M., 1996. "Closing the GARCH gap : Continuous time GARCH modeling," Other publications TiSEM c3d29817-403a-4ad1-9295-8, Tilburg University, School of Economics and Management.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013.
"Econometric modeling of exchange rate volatility and jumps,"
Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427,
Edward Elgar Publishing.
- Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
- B. Wade Brorsen & Seung-Ryong Yang, 1994. "Nonlinear Dynamics And The Distribution Of Daily Stock Index Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 187-203, June.
- Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
- Amélie Charles, 2008. "Forecasting volatility with outliers in GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 551-565.
- Pezzo, Rosanna & Uberti, Mariacristina, 2006. "Approaches to forecasting volatility: Models and their performances for emerging equity markets," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 556-565.
- Babajide Fowowe, 2014. "Paper oil and physical oil: has speculative pressure in oil futures increased volatility in spot oil prices?," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 38(3), pages 356-372, September.
- Alessandra Amendola & Vincenzo Candila & Antonio Naimoli & Giuseppe Storti, 2024. "Adaptive combinations of tail-risk forecasts," Papers 2406.06235, arXiv.org.
- Chihwa Kao, 2001. "Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH," Center for Policy Research Working Papers 35, Center for Policy Research, Maxwell School, Syracuse University.
- Carlo Drago & Andrea Scozzari, 2022. "Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis," Papers 2202.02197, arXiv.org.
- Janus, Paweł & Koopman, Siem Jan & Lucas, André, 2014.
"Long memory dynamics for multivariate dependence under heavy tails,"
Journal of Empirical Finance, Elsevier, vol. 29(C), pages 187-206.
- Pawel Janus & Siem Jan Koopman & André Lucas, 2011. "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers 11-175/2/DSF28, Tinbergen Institute.
- Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Massimiliano Caporin & Michael McAleer, 2010.
"Model Selection and Testing of Conditional and Stochastic Volatility Models,"
KIER Working Papers
724, Kyoto University, Institute of Economic Research.
- Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Working Papers in Economics 10/58, University of Canterbury, Department of Economics and Finance.
- Caporin, M. & McAleer, M.J., 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-57, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Mohd Khairul Idlan Muhammad & Mohamed Salem Nashwan & Shamsuddin Shahid & Tarmizi bin Ismail & Young Hoon Song & Eun-Sung Chung, 2019. "Evaluation of Empirical Reference Evapotranspiration Models Using Compromise Programming: A Case Study of Peninsular Malaysia," Sustainability, MDPI, vol. 11(16), pages 1-19, August.
- Xekalaki, Evdokia & Degiannakis, Stavros, 2005.
"Evaluating volatility forecasts in option pricing in the context of a simulated options market,"
Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
- Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper 80468, University Library of Munich, Germany.
More about this item
Keywords
rainfall volatility; GARCH; Markov chain; rainfall anomaly index; drought predictability;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jsusta:v:12:y:2020:i:23:p:9810-:d:450246. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.