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Annastiina Silvennoinen

Personal Details

First Name:Annastiina
Middle Name:
Last Name:Silvennoinen
Suffix:
RePEc Short-ID:psi115
[This author has chosen not to make the email address public]
Terminal Degree:2006 Department of Economic Statistics; Stockholm School of Economics (from RePEc Genealogy)

Affiliation

Business School
Queensland University of Technology

Brisbane, Australia
https://www.qut.edu.au/business
RePEc:edi:fbqutau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Changli He & Jian Kang & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Long Monthly European Temperature Series and the North Atlantic Oscillation," Economics Working Papers 2023-03, Department of Economics and Business Economics, Aarhus University.
  2. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model," CREATES Research Papers 2022-01, Department of Economics and Business Economics, Aarhus University.
  3. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
  4. Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Transition from the Taylor rule to the zero lower bound," CREATES Research Papers 2018-31, Department of Economics and Business Economics, Aarhus University.
  5. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," CREATES Research Papers 2018-14, Department of Economics and Business Economics, Aarhus University.
  6. Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
  7. Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
  8. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2016. "Volatility Dependent Dynamic Equicorrelation," NCER Working Paper Series 111, National Centre for Econometric Research.
  9. Annastiina Silvennoinen & Timo Teräsvirta, 2015. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," CREATES Research Papers 2015-47, Department of Economics and Business Economics, Aarhus University.
  10. Annastiina Silvennoinen & Susan Thorp, 2015. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," NCER Working Paper Series 109, National Centre for Econometric Research.
  11. A.S. Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," CREATES Research Papers 2014-09, Department of Economics and Business Economics, Aarhus University.
  12. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2013. "On the Benefits of Equicorrelation for Portfolio Allocation," NCER Working Paper Series 99, National Centre for Econometric Research.
  13. Adam E Clements & Ayesha Scott & Annastiina Silvennoinen, 2012. "Forecasting multivariate volatility in larger dimensions: some practical issues," NCER Working Paper Series 80, National Centre for Econometric Research.
  14. Annastiina Silvennoinen & Timo Teräsvirta, 2012. "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers 2012-09, Department of Economics and Business Economics, Aarhus University.
  15. Adam E Clements & Annastiina Silvennoinen, 2011. "Volatility timing and portfolio selection: How best to forecast volatility," NCER Working Paper Series 76, National Centre for Econometric Research.
  16. Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series 267, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Adam Clements & Annastiina Silvennoinen, 2010. "Portfolio allocation: Getting the most out of realised volatility," NCER Working Paper Series 54, National Centre for Econometric Research, revised 06 May 2010.
  18. Adam Clements & Annastiina Silvennoinen, 2009. "On the economic benefit of utility based estimation of a volatility model," NCER Working Paper Series 44, National Centre for Econometric Research.
  19. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, Department of Economics and Business Economics, Aarhus University.
  20. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
  21. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, Department of Economics and Business Economics, Aarhus University.
  22. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," SSE/EFI Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005.

Articles

  1. He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Journal of Econometrics, Elsevier, vol. 239(1).
  2. He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2023. "Long monthly European temperature series and the North Atlantic Oscillation," Energy Economics, Elsevier, vol. 126(C).
  3. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2023. "Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks," Econometrics, MDPI, vol. 11(1), pages 1-37, February.
  4. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
  5. Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo, 2022. "Transition from the Taylor rule to the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(5), pages 635-647, December.
  6. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019. "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
  7. Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017. "Modelling and Forecasting WIG20 Daily Returns," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
  8. Silvennoinen Annastiina & Teräsvirta Timo, 2016. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 347-364, September.
  9. Annastiina Silvennoinen & Susan Thorp, 2016. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
  10. A. Stan Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2016. "A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 707-733, June.
  11. Annastiina Silvennoinen & Timo Ter�svirta, 2015. "Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 174-197, February.
  12. Clements, A. & Silvennoinen, A., 2013. "Volatility timing: How best to forecast portfolio exposures," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 108-115.
  13. Silvennoinen, Annastiina & Thorp, Susan, 2013. "Financialization, crisis and commodity correlation dynamics," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 42-65.
  14. Annastiina Silvennoinen & Timo Teräsvirta, 2009. "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
  15. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 208-230, Spring.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (17) 2005-11-19 2005-11-19 2007-02-10 2007-08-18 2009-09-26 2010-03-28 2012-02-20 2012-02-20 2012-03-14 2014-04-11 2015-11-01 2016-05-21 2016-06-04 2017-04-09 2018-05-07 2021-10-04 2022-01-24. Author is listed
  2. NEP-ETS: Econometric Time Series (15) 2005-11-19 2005-11-19 2007-02-10 2007-08-18 2008-06-27 2008-06-27 2008-06-27 2012-02-20 2012-03-14 2015-11-01 2016-05-21 2016-06-04 2018-05-07 2021-10-04 2022-01-24. Author is listed
  3. NEP-FOR: Forecasting (5) 2010-03-28 2012-02-20 2012-02-20 2013-12-15 2017-04-09. Author is listed
  4. NEP-ORE: Operations Research (3) 2008-06-27 2021-10-04 2022-01-24
  5. NEP-ENE: Energy Economics (2) 2014-04-11 2016-05-28
  6. NEP-RMG: Risk Management (2) 2012-02-20 2022-01-24
  7. NEP-UPT: Utility Models and Prospect Theory (2) 2009-09-26 2010-03-28
  8. NEP-AGR: Agricultural Economics (1) 2016-05-28
  9. NEP-BEC: Business Economics (1) 2010-02-27
  10. NEP-DCM: Discrete Choice Models (1) 2014-04-11
  11. NEP-DES: Economic Design (1) 2023-04-17
  12. NEP-ENV: Environmental Economics (1) 2023-04-17
  13. NEP-FIN: Finance (1) 2005-11-19
  14. NEP-FMK: Financial Markets (1) 2010-02-27
  15. NEP-GER: German Papers (1) 2014-04-11
  16. NEP-ICT: Information and Communication Technologies (1) 2007-02-10
  17. NEP-IND: Industrial Organization (1) 2014-04-11
  18. NEP-MAC: Macroeconomics (1) 2023-04-17
  19. NEP-URE: Urban and Real Estate Economics (1) 2023-04-17

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