Timo Teräsvirta
(Timo Terasvirta)
Personal Details
First Name: | Timo |
Middle Name: | |
Last Name: | Terasvirta |
Suffix: | |
RePEc Short-ID: | pte1 |
[This author has chosen not to make the email address public] | |
CREATES Aarhus University Fuglesangs Allé 4 DK-8210 Aarhus V Denmark | |
+45 8716 5563 | |
Terminal Degree: | 1970 Politiikan ja Talouden Tutkimuksen Laitos; Valtiotieteellinen tiedekunta; Helsingin Yliopisto (from RePEc Genealogy) |
Affiliation
(50%) Center for Applied Statistics and Econometrics (CASE)
Humboldt-Universität Berlin
Berlin, Germanyhttp://www.case.hu-berlin.de/
RePEc:edi:cahubde (more details at EDIRC)
(50%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- 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.
- 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).
- 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.
- 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.
- 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.
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019.
"Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
CREATES Research Papers
2019-18, Department of Economics and Business Economics, Aarhus University.
- 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).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019.
"Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
CREATES Research Papers
2019-19, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2021. "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Energy Economics, Elsevier, vol. 97(C).
- Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2019.
"Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model,"
CREATES Research Papers
2019-17, Department of Economics and Business Economics, Aarhus University.
- Dakyung Seong & Jin Seo Cho & Timo Terasvirta, 2019. "Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model," Working papers 2019rwp-151, Yonsei University, Yonsei Economics Research Institute.
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018.
"The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016,"
CREATES Research Papers
2018-15, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2019. "The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016," Econometrics and Statistics, Elsevier, vol. 12(C), pages 1-24.
- 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.
- 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.
- 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.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
- Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang, 2017.
"Panel Smooth Transition Regression Models,"
CREATES Research Papers
2017-36, Department of Economics and Business Economics, Aarhus University.
- Andres Gonzalez & Timo Terasvirta & Dick van Dijk, 2005. "Panel Smooth Transition Regression Models," Research Paper Series 165, Quantitative Finance Research Centre, University of Technology, Sydney.
- González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai, 2005. "Panel Smooth Transition Regression Models," SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics, revised 11 Oct 2017.
- Timo Teräsvirta, 2017. "Sir Clive Granger's contributions to nonlinear time series and econometrics," CREATES Research Papers 2017-04, Department of Economics and Business Economics, Aarhus University.
- Matthew T. Holt & Timo Teräsvirta, 2017.
"Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis,"
CREATES Research Papers
2017-05, Department of Economics and Business Economics, Aarhus University.
- Holt, Matthew T. & Teräsvirta, Timo, 2020. "Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis," Journal of Econometrics, Elsevier, vol. 214(1), pages 198-215.
- 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.
- 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.
- 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.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
- Timo Teräsvirta, 2017. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- Annastiina Silvennoinen & Timo Terasvirta, 2015. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," NCER Working Paper Series 108, National Centre for Econometric Research.
- 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.
- 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.
- A S Hurn & Annastiina Silvennoinen & Timo Terasvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," NCER Working Paper Series 100, National Centre for Econometric Research.
- Timo Teräsvirta & Yukai Yang, 2014.
"Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications,"
CREATES Research Papers
2014-08, Department of Economics and Business Economics, Aarhus University.
- Terasvirta, Timo & Yang, Yukai, 2014. "Specification, estimation and evaluation of vector smooth transition autoregressive models with applications," LIDAM Discussion Papers CORE 2014062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Timo Teräsvirta & Yukai Yang, 2014.
"Linearity and Misspecification Tests for Vector Smooth Transition Regression Models,"
CREATES Research Papers
2014-04, Department of Economics and Business Economics, Aarhus University.
- Terasvirta, Timo & Yang, Yukai, 2014. "Linearity and misspecification tests for vector smooth transition regression models," LIDAM Discussion Papers CORE 2014061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014.
"A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model,"
CREATES Research Papers
2014-03, Department of Economics and Business Economics, Aarhus University.
- Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017. "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
- Kappler, Marcus & Schleer, Frauke & Semmler, Willi & Teräsvirta, Timo & Winker, Peter, 2013. "Financial sector and output dynamics in the euro area countries," ZEW policy briefs 9/2013, ZEW - Leibniz Centre for European Economic Research.
- Matthew T. Holt & Timo Teräsvirta, 2012. "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers 2012-54, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Timo Teräsvirta, 2012.
"Modelling Changes in the Unconditional Variance of Long Stock Return Series,"
CREATES Research Papers
2012-07, Department of Economics and Business Economics, Aarhus University.
- Amado, Cristina & Teräsvirta, Timo, 2014. "Modelling changes in the unconditional variance of long stock return series," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
- Cristina Amado & Timo Terasvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," NIPE Working Papers 02/2012, NIPE - Universidade do Minho.
- 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.
- 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.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012.
"Unit roots, nonlinearities and structural breaks,"
CREATES Research Papers
2012-14, Department of Economics and Business Economics, Aarhus University.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
- Cristina Amado & Timo Teräsvirta, 2011.
"Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations,"
CREATES Research Papers
2011-24, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Timo Teräsvirta, 2014. "Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 69-87, January.
- Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," NIPE Working Papers 15/2011, NIPE - Universidade do Minho.
- Anders Bredahl Kock & Timo Teräsvirta, 2011.
"Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009,"
CREATES Research Papers
2011-28, Department of Economics and Business Economics, Aarhus University.
- Kock, Anders Bredahl & Teräsvirta, Timo, 2014. "Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009," International Journal of Forecasting, Elsevier, vol. 30(3), pages 616-631.
- Cristina Amado & Timo Teräsvirta, 2011.
"Modelling Volatility by Variance Decomposition,"
CREATES Research Papers
2011-01, Department of Economics and Business Economics, Aarhus University.
- Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
- Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
- Timo Teräsvirta, 2011. "Nonlinear models for autoregressive conditional heteroskedasticity," CREATES Research Papers 2011-02, Department of Economics and Business Economics, Aarhus University.
- Anders Bredahl Kock & Timo Teräsvirta, 2011.
"Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques,"
CREATES Research Papers
2011-27, Department of Economics and Business Economics, Aarhus University.
- Anders Bredahl Kock & Timo Teräsvirta, 2016. "Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1753-1779, December.
- Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
- Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009.
"Forecasting inflation with gradual regime shifts and exogenous information,"
CREATES Research Papers
2009-03, Department of Economics and Business Economics, Aarhus University.
- Hubrich, Kirstin & González, Andrés & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.
- 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.
- 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.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008.
"Multivariate GARCH models,"
CREATES Research Papers
2008-06, Department of Economics and Business Economics, Aarhus University.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
- Christina Amado & Timo Teräsvirta, 2008.
"Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure,"
CREATES Research Papers
2008-08, Department of Economics and Business Economics, Aarhus University.
- Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," SSE/EFI Working Paper Series in Economics and Finance 691, Stockholm School of Economics.
- Cristina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers 03/2008, NIPE - Universidade do Minho.
- 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.
- 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.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series 169, Quantitative Finance Research Centre, University of Technology, Sydney.
- Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2008.
"Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form,"
CREATES Research Papers
2008-19, Department of Economics and Business Economics, Aarhus University.
- Anne Peguin-Feissolle & Birgit Strikholm & Timo Teräsvirta, 2013. "Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form," Post-Print hal-01500895, HAL.
- Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo, 2007. "Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form," SSE/EFI Working Paper Series in Economics and Finance 672, Stockholm School of Economics, revised 18 Jan 2012.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007.
"Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models,"
SSE/EFI Working Paper Series in Economics and Finance
675, Stockholm School of Economics, revised 14 Feb 2008.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2008. "Positivity constraints on the conditional variances in the family of conditional correlation GARCH models," Finance Research Letters, Elsevier, vol. 5(2), pages 88-95, June.
- Teräsvirta, Timo & Zhao, Zhenfang, 2007. "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 662, Stockholm School of Economics, revised 01 Aug 2007.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007.
"Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model,"
SSE/EFI Working Paper Series in Economics and Finance
649, Stockholm School of Economics, revised 04 May 2008.
- Tomoaki Nakatani & Timo Terasvirta, 2009. "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, March.
- Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
- Timo Terasvirta & Andrés González, 2006.
"Modelling autoregressive processes with a shifting mean,"
Borradores de Economia
420, Banco de la Republica de Colombia.
- González Andrés & Teräsvirta Timo, 2008. "Modelling Autoregressive Processes with a Shifting Mean," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-28, March.
- Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," Borradores de Economia 3230, Banco de la Republica.
- González, Andrés & Teräsvirta, Timo, 2006. "Modelling autoregressive processes with a shifting mean," SSE/EFI Working Paper Series in Economics and Finance 637, Stockholm School of Economics, revised 22 May 2007.
- Teräsvirta, Timo, 2005. "Univariate nonlinear time series models," SSE/EFI Working Paper Series in Economics and Finance 593, Stockholm School of Economics.
- González, Andrés & Teräsvirta, Timo, 2005.
"Simulation-based finite-sample linearity test against smooth transition models,"
SSE/EFI Working Paper Series in Economics and Finance
603, Stockholm School of Economics.
- Andrés González & Timo Teräsvirta, 2006. "Simulation‐based Finite Sample Linearity Test against Smooth Transition Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 797-812, December.
- Strikholm, Birgit & Teräsvirta, Timo, 2005. "Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions," SSE/EFI Working Paper Series in Economics and Finance 578, Stockholm School of Economics, revised 11 Feb 2005.
- 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.
- Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Research Paper Series 168, Quantitative Finance Research Centre, University of Technology, Sydney.
- Teräsvirta, Timo, 2005.
"Forecasting economic variables with nonlinear models,"
SSE/EFI Working Paper Series in Economics and Finance
598, Stockholm School of Economics, revised 29 Dec 2005.
- Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
- Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
- Meitz, Mika & Teräsvirta, Timo, 2004.
"Evaluating models of autoregressive conditional duration,"
SSE/EFI Working Paper Series in Economics and Finance
557, Stockholm School of Economics, revised 13 Dec 2004.
- Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January.
- Timo Terasvirta, 2004.
"A Time Series Model for an Exchange Rate in a Target Zone with Applications,"
Econometric Society 2004 Australasian Meetings
340, Econometric Society.
- Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
- Lundbergh, Stefan & Teräsvirta, Timo, 2003. "A time series model for an exchange rate in a target zone with applications," SSE/EFI Working Paper Series in Economics and Finance 533, Stockholm School of Economics.
- Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004.
"Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination,"
SSE/EFI Working Paper Series in Economics and Finance
561, Stockholm School of Economics, revised 09 Nov 2004.
- Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, vol. 21(4), pages 755-774.
- Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004. "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão 485, Department of Economics PUC-Rio (Brazil).
- Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J., 2003.
"Common factors in conditional distributions for Bivariate time series,"
LSE Research Online Documents on Economics
24854, London School of Economics and Political Science, LSE Library.
- Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006. "Common factors in conditional distributions for bivariate time series," Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
- Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group.
- Eklund, Bruno & Teräsvirta, Timo, 2003.
"Testing constancy of the error covariance matrix in vector models,"
SSE/EFI Working Paper Series in Economics and Finance
549, Stockholm School of Economics, revised 18 Jan 2006.
- Eklund, Bruno & Terasvirta, Timo, 2007. "Testing constancy of the error covariance matrix in vector models," Journal of Econometrics, Elsevier, vol. 140(2), pages 753-780, October.
- He, Changli & Teräsvirta, Timo, 2002. "An application of the analogy between vector ARCH and vector random coefficient autoregressive models," SSE/EFI Working Paper Series in Economics and Finance 516, Stockholm School of Economics.
- Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J, 2002.
"Common Factors in Conditional Distributions,"
University of California at San Diego, Economics Working Paper Series
qt3bd1n1x5, Department of Economics, UC San Diego.
- Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J., 2002. "Common factors in conditional distributions," SSE/EFI Working Paper Series in Economics and Finance 515, Stockholm School of Economics.
- He, Changli & Teräsvirta, Timo & González, Andres, 2002.
"Testing parameter constancy in stationary vector autoregressive models against continuous change,"
SSE/EFI Working Paper Series in Economics and Finance
507, Stockholm School of Economics, revised 11 Jul 2005.
- Changli He & Timo Terasvirta & Andres Gonzalez, 2009. "Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 225-245.
- Eliasson, Ann-Charlotte & Teräsvirta, Timo, 2002. "Error correction in DHSY," SSE/EFI Working Paper Series in Economics and Finance 517, Stockholm School of Economics.
- Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002.
"Building neural network models for time series: A statistical approach,"
SSE/EFI Working Paper Series in Economics and Finance
508, Stockholm School of Economics.
- Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006. "Building neural network models for time series: a statistical approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75.
- Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002. "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão 461, Department of Economics PUC-Rio (Brazil).
- He, Changli & Teräsvirta, Timo, 2002.
"An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure,"
SSE/EFI Working Paper Series in Economics and Finance
509, Stockholm School of Economics.
- He, Changli & Teräsvirta, Timo, 2004. "An Extended Constant Conditional Correlation Garch Model And Its Fourth-Moment Structure," Econometric Theory, Cambridge University Press, vol. 20(5), pages 904-926, October.
- van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T., 2001.
"The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series,"
Econometric Institute Research Papers
EI 2001-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, June.
- van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," SSE/EFI Working Paper Series in Economics and Finance 0429, Stockholm School of Economics, revised 01 Jun 2004.
- Marcelo C. Medeiros & Timo Terasvirta, 2001. "Statistical methods for modelling neural networks," Textos para discussão 445, Department of Economics PUC-Rio (Brazil).
- van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000.
"Smooth transition autoregressive models - A survey of recent developments,"
Econometric Institute Research Papers
EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
- van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
- Lundbergh, Stefan & Teräsvirta, Timo, 2000. "Forecasting with smooth transition autoregressive models," SSE/EFI Working Paper Series in Economics and Finance 390, Stockholm School of Economics.
- Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000.
"Time-Varying Smooth Transition Autoregressive Models,"
SSE/EFI Working Paper Series in Economics and Finance
376, Stockholm School of Economics.
- Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003. "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 104-121, January.
- Stefan Lundbergh & Timo Teräsvirta, 1999. "Modelling Economic High-Frequency Time Series," Tinbergen Institute Discussion Papers 99-009/4, Tinbergen Institute.
- Peguin-Feissolle, A. & Terasvirta, T., 1999.
"A General Framework for Testing the Granger Noncausality Hypothesis,"
G.R.E.Q.A.M.
99a42, Universite Aix-Marseille III.
- Péguin-Feissolle, Anne & Teräsvirta, Timo, 1999. "A general framework for testing the Granger noncausality hypothesis," SSE/EFI Working Paper Series in Economics and Finance 343, Stockholm School of Economics.
- Persson, Anna & Teräsvirta, Timo, 1999.
"The Net Barter Terms Of Trade : A Smooth Transition Approach,"
SSE/EFI Working Paper Series in Economics and Finance
335, Stockholm School of Economics.
- Anna Persson & Timo Teräsvirta, 2003. "The net barter terms of trade: A smooth transition approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 81-97.
- He, Changli & Teräsvirta, Timo & Malmsten, Hans, 1999.
"Fourth Moment Structure of a Family of First-Order Exponential GARCH Models,"
SSE/EFI Working Paper Series in Economics and Finance
345, Stockholm School of Economics.
- Changli He & Timo Terasvirta & Hans Malmsten, 1999. "Fourth Moment Structure of a Family of First-Order Exponential GARCH Models," Research Paper Series 29, Quantitative Finance Research Centre, University of Technology, Sydney.
- Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf, 1999.
"A simple variable selection technique for nonlinear models,"
SSE/EFI Working Paper Series in Economics and Finance
296, Stockholm School of Economics, revised 06 Apr 2000.
- Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf, 1999. "A simple variable selection technique for nonlinear models," SFB 373 Discussion Papers 1999,26, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- He, Changli & Teräsvirta, Timo, 1999. "Higher-order dependence in the general Power ARCH process and a special case," SSE/EFI Working Paper Series in Economics and Finance 315, Stockholm School of Economics.
- Lundbergh, Stefan & Teräsvirta, Timo, 1998. "Modelling economic high-frequency time series with STAR-STGARCH models," SSE/EFI Working Paper Series in Economics and Finance 291, Stockholm School of Economics.
- Skalin, Joakim & Teräsvirta, Timo, 1998.
"Modelling asymmetries and moving equilibria in unemployment rates,"
SSE/EFI Working Paper Series in Economics and Finance
262, Stockholm School of Economics, revised Jul 1999.
- Skalin, Joakim & Teräsvirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 202-241, April.
- Hall, Anthony D. & Skalin, Joakim & Teräsvirta, Timo, 1998. "A nonlinear time series model of El Niño," SSE/EFI Working Paper Series in Economics and Finance 263, Stockholm School of Economics.
- Granger, Clive W.J. & Teräsvirta, Timo, 1998.
"A simple nonlinear time series model with misleading linear properties,"
SSE/EFI Working Paper Series in Economics and Finance
237, Stockholm School of Economics.
- Granger, Clive W. J. & Terasvirta, Timo, 1999. "A simple nonlinear time series model with misleading linear properties," Economics Letters, Elsevier, vol. 62(2), pages 161-165, February.
- Teräsvirta, Timo & Eliasson, Ann-Charlotte, 1998. "Nonlinear error-correction and the UK demand for broad money, 1878-1993," SSE/EFI Working Paper Series in Economics and Finance 265, Stockholm School of Economics, revised 30 Nov 1998.
- Lundbergh, Stefan & Teräsvirta, Timo, 1998.
"Evaluating GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
292, Stockholm School of Economics, revised 03 Oct 2001.
- Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
- Stefan Lundbergh & Timo Teräsvirta, 1999. "Evaluating GARCH Models," Tinbergen Institute Discussion Papers 99-008/4, Tinbergen Institute.
- He, Changli & Teräsvirta, Timo, 1997.
"Fourth Moment Structure of the GARCH (p, q) Process,"
SSE/EFI Working Paper Series in Economics and Finance
168, Stockholm School of Economics.
- He, Changli & Teräsvirta, Timo, 1999. "FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS," Econometric Theory, Cambridge University Press, vol. 15(6), pages 824-846, December.
- He, Changli & Teräsvirta, Timo, 1997.
"Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints,"
SSE/EFI Working Paper Series in Economics and Finance
169, Stockholm School of Economics.
- Changli He & Timo Terasvirta, 1999. "Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(1), pages 23-30, January.
- He, Changli & Teräsvirta, Timo, 1997. "Statistical Properties of the Asymmetric Power ARCH Process," SSE/EFI Working Paper Series in Economics and Finance 199, Stockholm School of Economics, revised 30 Sep 1997.
- He, Changli & Teräsvirta, Timo, 1997.
"Properties of Moments of a Family of GARCH Processes,"
SSE/EFI Working Paper Series in Economics and Finance
198, Stockholm School of Economics.
- He, Changli & Terasvirta, Timo, 1999. "Properties of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
- Teräsvirta, Timo, 1996. "Two Stylized Facts and the Garch (1,1) Model," SSE/EFI Working Paper Series in Economics and Finance 96, Stockholm School of Economics.
- Skalin, Joakim & Teräsvirta, Timo, 1996.
"Another Look at Swedish Business Cycles, 1861-1988,"
SSE/EFI Working Paper Series in Economics and Finance
130, Stockholm School of Economics.
- Skalin, Joakim & Terasvirta, Timo, 1999. "Another Look at Swedish Business Cycles, 1861-1988," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 359-378, July-Aug..
- Skalin, J. & Teräsvirta, T., 1996. "Another Look at Swedish Business Cycles, 1861-1988," SFB 373 Discussion Papers 1996,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996.
"Stylized Facts of Daily Return Series and the Hidden Markov Model,"
SSE/EFI Working Paper Series in Economics and Finance
117, Stockholm School of Economics.
- Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
- Teräsvirta, Timo, 1996. "Modelling Economic Relationships with Smooth Transition Regressions," SSE/EFI Working Paper Series in Economics and Finance 131, Stockholm School of Economics.
- Teräsvirta, Timo, 1996.
"Power Properties of Linearity Tests for Time Series,"
SSE/EFI Working Paper Series in Economics and Finance
94, Stockholm School of Economics.
- Teräsvirta Timo, 1996. "Power Properties of Linearity Tests for Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(1), pages 1-10, April.
- Kauppi, Eija & Lassila, Jukka & Teräsvirta, Timo, 1996. "Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finland's Great Depression," Discussion Papers 546, The Research Institute of the Finnish Economy.
- Teräsvirta, Timo, 1996. "Smooth Transition Models," SSE/EFI Working Paper Series in Economics and Finance 132, Stockholm School of Economics.
- Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo, 1996.
"Testing Linearity against Nonlinear Moving Average Models,"
SSE/EFI Working Paper Series in Economics and Finance
95, Stockholm School of Economics.
- Brännäs, Kurt & de Gooijer, Jan G. & Teräsvirta, Timo, 1997. "Testing Linearity against Nonlinear Moving Average Models," Umeå Economic Studies 405, Umeå University, Department of Economics.
- Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut, 1996.
"Modelling the Demand for M3 in the unified Germany,"
SSE/EFI Working Paper Series in Economics and Finance
113, Stockholm School of Economics.
- Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl, 1998. "Modeling The Demand For M3 In The Unified Germany," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 399-409, August.
- Wolters, J. & Teräsvirta, T. & Lütkepohl, H., 1996. "Modelling the Demand for M3 in the Unified Germany," SFB 373 Discussion Papers 1996,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen, 1995.
"Investigating Stability and Linearity of a German M1 Money Demand Function,"
SSE/EFI Working Paper Series in Economics and Finance
64, Stockholm School of Economics.
- Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999. "Investigating Stability and Linearity of a German M1 Money Demand Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 511-525, Sept.-Oct.
- Lütkepohl, H. & Teräsvirta, T. & Wolters, J., 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," SFB 373 Discussion Papers 1995,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Eitrheim, Øyvind & Teräsvirta, Timo, 1995.
"Testing the Adequacy of Smooth Transition Autoregressive Models,"
SSE/EFI Working Paper Series in Economics and Finance
56, Stockholm School of Economics.
- Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
- Lin, Chien-Fu & Teräsvirta, Timo, 1995.
"Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters,"
SSE/EFI Working Paper Series in Economics and Finance
54, Stockholm School of Economics.
- Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999. "Testing parameter constancy in linear models against stochastic stationary parameters," Journal of Econometrics, Elsevier, vol. 90(2), pages 193-213, June.
- Teräsvirta, T. & Lin, C., 1995. "Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters," SFB 373 Discussion Papers 1995,28, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Jansen, Eilev S. & Teräsvirta, Timo, 1995.
"Testing Parameter Constancy and super Exogeneity in Econometric Equations,"
SSE/EFI Working Paper Series in Economics and Finance
53, Stockholm School of Economics.
- Jansen, Eilev S & Terasvirta, Timo, 1996. "Testing Parameter Constancy and Super Exogeneity in Econometric Equations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 735-763, November.
- Rahiala, Markku & Teräsvirta, Timo, 1991. "Forecasting the Outputof Finnish Forest Industries Using Business Survey Data," Discussion Papers 371, The Research Institute of the Finnish Economy.
- Boucelham, Jamel & Teräsvirta, Timo, 1989. "How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production?," Discussion Papers 284, The Research Institute of the Finnish Economy.
- Rahiala, Markku & Teräsvirta, Timo, 1989. "Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis," Discussion Papers 282, The Research Institute of the Finnish Economy.
- Teräsvirta, Timo, 1988. "A Review of PC-GIVE: A Statistical Package for Econometric Modelling," Discussion Papers 259, The Research Institute of the Finnish Economy.
- Luukkonen, Ritva & Teräsvirta, Timo, 1988. "Testing Linearity of Economic Time Series against Cyclical A symmetry," Discussion Papers 262, The Research Institute of the Finnish Economy.
- TERÄSVIRTA, Timo, 1981. "Some results on improving the least squares estimation of linear models by mixed estimation," LIDAM Reprints CORE 434, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Teräsvirta, T., 1980.
"The polynomial distributed lag revisited,"
LIDAM Reprints CORE
438, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Terasvirta, T, 1980. "The Polynomial Distributed Lag Revisited," Empirical Economics, Springer, vol. 5(2), pages 69-81.
Articles
- 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).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers 2019-18, Department of Economics and Business Economics, Aarhus University.
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Dakyung Seong & Jin Seo Cho & Timo Teräsvirta, 2022. "Comprehensively testing linearity hypothesis using the smooth transition autoregressive model," Econometric Reviews, Taylor & Francis Journals, vol. 41(8), pages 966-984, September.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2021.
"Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model,"
Energy Economics, Elsevier, vol. 97(C).
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2019. "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," CREATES Research Papers 2019-19, Department of Economics and Business Economics, Aarhus University.
- Holt, Matthew T. & Teräsvirta, Timo, 2020.
"Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis,"
Journal of Econometrics, Elsevier, vol. 214(1), pages 198-215.
- Matthew T. Holt & Timo Teräsvirta, 2017. "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis," CREATES Research Papers 2017-05, Department of Economics and Business Economics, Aarhus University.
- He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2019.
"The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016,"
Econometrics and Statistics, Elsevier, vol. 12(C), pages 1-24.
- Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang, 2018. "The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016," CREATES Research Papers 2018-15, Department of Economics and Business Economics, Aarhus University.
- Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017.
"A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
- Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014. "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers 2014-03, Department of Economics and Business Economics, Aarhus University.
- 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.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
- 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.
- Cristina Amado & Timo Teräsvirta, 2017. "Specification and testing of multiplicative time-varying GARCH models with applications," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 421-446, April.
- 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.
- 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.
- Annastiina Silvennoinen & Timo Terasvirta, 2015. "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," NCER Working Paper Series 108, National Centre for Econometric Research.
- 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.
- 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.
- A S Hurn & Annastiina Silvennoinen & Timo Terasvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," NCER Working Paper Series 100, National Centre for Econometric Research.
- Anders Bredahl Kock & Timo Teräsvirta, 2016.
"Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1753-1779, December.
- Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques," CREATES Research Papers 2011-27, Department of Economics and Business Economics, Aarhus University.
- 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.
- 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.
- Cristina Amado & Timo Teräsvirta, 2014.
"Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 69-87, January.
- Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," CREATES Research Papers 2011-24, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Timo Teräsvirta, 2011. "Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations," NIPE Working Papers 15/2011, NIPE - Universidade do Minho.
- Amado, Cristina & Teräsvirta, Timo, 2014.
"Modelling changes in the unconditional variance of long stock return series,"
Journal of Empirical Finance, Elsevier, vol. 25(C), pages 15-35.
- Cristina Amado & Timo Terasvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," NIPE Working Papers 02/2012, NIPE - Universidade do Minho.
- Cristina Amado & Timo Teräsvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers 2012-07, Department of Economics and Business Economics, Aarhus University.
- Kock, Anders Bredahl & Teräsvirta, Timo, 2014.
"Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 616-631.
- Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers 2011-28, Department of Economics and Business Economics, Aarhus University.
- Amado, Cristina & Teräsvirta, Timo, 2013.
"Modelling volatility by variance decomposition,"
Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
- Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," CREATES Research Papers 2011-01, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
- Anders Bredahl Kock & Timo Teräsvirta, 2013. "Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques," Finnish Economic Papers, Finnish Economic Association, vol. 26(1), pages 13-24, Spring.
- Timo Teräsvirta, 2010. "Working With Clive Granger: Two Short Memories," Journal of Financial Econometrics, Oxford University Press, vol. 8(2), pages 191-192, spring.
- Timo Terasvirta, 2010. "Sir Clive William John Granger, 1934-2009," New Zealand Economic Papers, Taylor & Francis Journals, vol. 44(2), pages 121-127.
- 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.
- 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.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
- Tomoaki Nakatani & Timo Terasvirta, 2009.
"Testing for volatility interactions in the Constant Conditional Correlation GARCH model,"
Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, March.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," SSE/EFI Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 04 May 2008.
- Changli He & Timo Terasvirta & Andres Gonzalez, 2009.
"Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change,"
Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 225-245.
- He, Changli & Teräsvirta, Timo & González, Andres, 2002. "Testing parameter constancy in stationary vector autoregressive models against continuous change," SSE/EFI Working Paper Series in Economics and Finance 507, Stockholm School of Economics, revised 11 Jul 2005.
- González Andrés & Teräsvirta Timo, 2008.
"Modelling Autoregressive Processes with a Shifting Mean,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-28, March.
- Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," Borradores de Economia 3230, Banco de la Republica.
- Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," Borradores de Economia 420, Banco de la Republica de Colombia.
- González, Andrés & Teräsvirta, Timo, 2006. "Modelling autoregressive processes with a shifting mean," SSE/EFI Working Paper Series in Economics and Finance 637, Stockholm School of Economics, revised 22 May 2007.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2008.
"Positivity constraints on the conditional variances in the family of conditional correlation GARCH models,"
Finance Research Letters, Elsevier, vol. 5(2), pages 88-95, June.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," SSE/EFI Working Paper Series in Economics and Finance 675, Stockholm School of Economics, revised 14 Feb 2008.
- 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.
- 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.
- Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Research Paper Series 169, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eklund, Bruno & Terasvirta, Timo, 2007.
"Testing constancy of the error covariance matrix in vector models,"
Journal of Econometrics, Elsevier, vol. 140(2), pages 753-780, October.
- Eklund, Bruno & Teräsvirta, Timo, 2003. "Testing constancy of the error covariance matrix in vector models," SSE/EFI Working Paper Series in Economics and Finance 549, Stockholm School of Economics, revised 18 Jan 2006.
- Andrés González & Timo Teräsvirta, 2006.
"Simulation‐based Finite Sample Linearity Test against Smooth Transition Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 797-812, December.
- González, Andrés & Teräsvirta, Timo, 2005. "Simulation-based finite-sample linearity test against smooth transition models," SSE/EFI Working Paper Series in Economics and Finance 603, Stockholm School of Economics.
- Lundbergh, Stefan & Terasvirta, Timo, 2006.
"A time series model for an exchange rate in a target zone with applications,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
- Timo Terasvirta, 2004. "A Time Series Model for an Exchange Rate in a Target Zone with Applications," Econometric Society 2004 Australasian Meetings 340, Econometric Society.
- Lundbergh, Stefan & Teräsvirta, Timo, 2003. "A time series model for an exchange rate in a target zone with applications," SSE/EFI Working Paper Series in Economics and Finance 533, Stockholm School of Economics.
- Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J., 2006.
"Common factors in conditional distributions for bivariate time series,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 43-57, May.
- Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J., 2003. "Common factors in conditional distributions for Bivariate time series," LSE Research Online Documents on Economics 24854, London School of Economics and Political Science, LSE Library.
- Timo Terasvirta & Clive W.J Granger & Andrew Patton, 2003. "Common factors in conditional distributions for Bivariate time series," FMG Discussion Papers dp455, Financial Markets Group.
- Birgit Strikholm & Timo Teräsvirta, 2006. "A sequential procedure for determining the number of regimes in a threshold autoregressive model," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 472-491, November.
- Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech, 2006.
"Building neural network models for time series: a statistical approach,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(1), pages 49-75.
- Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi, 2002. "Building neural network models for time series: A statistical approach," SSE/EFI Working Paper Series in Economics and Finance 508, Stockholm School of Economics.
- Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech, 2002. "Building Neural Network Models for Time Series: A Statistical Approach," Textos para discussão 461, Department of Economics PUC-Rio (Brazil).
- Meitz, Mika & Terasvirta, Timo, 2006.
"Evaluating Models of Autoregressive Conditional Duration,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January.
- Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," SSE/EFI Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004.
- Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Reply," International Journal of Forecasting, Elsevier, vol. 21(4), pages 781-783.
- Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005.
"Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination,"
International Journal of Forecasting, Elsevier, vol. 21(4), pages 755-774.
- Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," SSE/EFI Working Paper Series in Economics and Finance 561, Stockholm School of Economics, revised 09 Nov 2004.
- Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros, 2004. "Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination," Textos para discussão 485, Department of Economics PUC-Rio (Brazil).
- He, Changli & Teräsvirta, Timo, 2004.
"An Extended Constant Conditional Correlation Garch Model And Its Fourth-Moment Structure,"
Econometric Theory, Cambridge University Press, vol. 20(5), pages 904-926, October.
- He, Changli & Teräsvirta, Timo, 2002. "An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure," SSE/EFI Working Paper Series in Economics and Finance 509, Stockholm School of Economics.
- Anna Persson & Timo Teräsvirta, 2003.
"The net barter terms of trade: A smooth transition approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 81-97.
- Persson, Anna & Teräsvirta, Timo, 1999. "The Net Barter Terms Of Trade : A Smooth Transition Approach," SSE/EFI Working Paper Series in Economics and Finance 335, Stockholm School of Economics.
- Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta, 2003.
"The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series,"
Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, June.
- van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T., 2001. "The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series," Econometric Institute Research Papers EI 2001-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," SSE/EFI Working Paper Series in Economics and Finance 0429, Stockholm School of Economics, revised 01 Jun 2004.
- Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003.
"Time-Varying Smooth Transition Autoregressive Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 104-121, January.
- Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000. "Time-Varying Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 376, Stockholm School of Economics.
- Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002.
"Smooth Transition Autoregressive Models — A Survey Of Recent Developments,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 1-47.
- van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," SSE/EFI Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
- van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Skalin, Joakim & Teräsvirta, Timo, 2002.
"Modeling Asymmetries And Moving Equilibria In Unemployment Rates,"
Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 202-241, April.
- Skalin, Joakim & Teräsvirta, Timo, 1998. "Modelling asymmetries and moving equilibria in unemployment rates," SSE/EFI Working Paper Series in Economics and Finance 262, Stockholm School of Economics, revised Jul 1999.
- Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.
- He, Changli & Teräsvirta, Timo & Malmsten, Hans, 2002. "Moment Structure Of A Family Of First-Order Exponential Garch Models," Econometric Theory, Cambridge University Press, vol. 18(4), pages 868-885, August.
- Lundbergh, Stefan & Terasvirta, Timo, 2002.
"Evaluating GARCH models,"
Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October.
- Lundbergh, Stefan & Teräsvirta, Timo, 1998. "Evaluating GARCH models," SSE/EFI Working Paper Series in Economics and Finance 292, Stockholm School of Economics, revised 03 Oct 2001.
- Stefan Lundbergh & Timo Teräsvirta, 1999. "Evaluating GARCH Models," Tinbergen Institute Discussion Papers 99-008/4, Tinbergen Institute.
- Franses, Philip Hans & Teräsvirta, Timo, 2001. "Introduction To The Special Issue: Nonlinear Modeling Of Multivariate Macroeconomic Relations," Macroeconomic Dynamics, Cambridge University Press, vol. 5(4), pages 461-465, September.
- Timo Teräsvirta & Ann-Charlotte Eliasson, 2001. "Non-linear error correction and the UK demand for broad money, 1878-1993," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 277-288.
- Granger, Clive W. J. & Terasvirta, Timo, 1999.
"A simple nonlinear time series model with misleading linear properties,"
Economics Letters, Elsevier, vol. 62(2), pages 161-165, February.
- Granger, Clive W.J. & Teräsvirta, Timo, 1998. "A simple nonlinear time series model with misleading linear properties," SSE/EFI Working Paper Series in Economics and Finance 237, Stockholm School of Economics.
- He, Changli & Terasvirta, Timo, 1999.
"Properties of moments of a family of GARCH processes,"
Journal of Econometrics, Elsevier, vol. 92(1), pages 173-192, September.
- He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," SSE/EFI Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
- Lin, Chien-Fu Jeff & Terasvirta, Timo, 1999.
"Testing parameter constancy in linear models against stochastic stationary parameters,"
Journal of Econometrics, Elsevier, vol. 90(2), pages 193-213, June.
- Teräsvirta, T. & Lin, C., 1995. "Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters," SFB 373 Discussion Papers 1995,28, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lin, Chien-Fu & Teräsvirta, Timo, 1995. "Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters," SSE/EFI Working Paper Series in Economics and Finance 54, Stockholm School of Economics.
- Changli He & Timo Terasvirta, 1999.
"Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 20(1), pages 23-30, January.
- He, Changli & Teräsvirta, Timo, 1997. "Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints," SSE/EFI Working Paper Series in Economics and Finance 169, Stockholm School of Economics.
- Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999.
"Investigating Stability and Linearity of a German M1 Money Demand Function,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 511-525, Sept.-Oct.
- Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," SSE/EFI Working Paper Series in Economics and Finance 64, Stockholm School of Economics.
- Lütkepohl, H. & Teräsvirta, T. & Wolters, J., 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," SFB 373 Discussion Papers 1995,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- He, Changli & Teräsvirta, Timo, 1999.
"FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS,"
Econometric Theory, Cambridge University Press, vol. 15(6), pages 824-846, December.
- He, Changli & Teräsvirta, Timo, 1997. "Fourth Moment Structure of the GARCH (p, q) Process," SSE/EFI Working Paper Series in Economics and Finance 168, Stockholm School of Economics.
- Skalin, Joakim & Terasvirta, Timo, 1999.
"Another Look at Swedish Business Cycles, 1861-1988,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 359-378, July-Aug..
- Skalin, Joakim & Teräsvirta, Timo, 1996. "Another Look at Swedish Business Cycles, 1861-1988," SSE/EFI Working Paper Series in Economics and Finance 130, Stockholm School of Economics.
- Skalin, J. & Teräsvirta, T., 1996. "Another Look at Swedish Business Cycles, 1861-1988," SFB 373 Discussion Papers 1996,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Tom Doan, "undated". "RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests," Statistical Software Components RTZ00191, Boston College Department of Economics.
- Timo Teräsvirta & Svend Hylleberg, 1998. "Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993”," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 325-334, March.
- Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998.
"Stylized facts of daily return series and the hidden Markov model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
- Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan, 1996. "Stylized Facts of Daily Return Series and the Hidden Markov Model," SSE/EFI Working Paper Series in Economics and Finance 117, Stockholm School of Economics.
- Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl, 1998.
"Modeling The Demand For M3 In The Unified Germany,"
The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 399-409, August.
- Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut, 1996. "Modelling the Demand for M3 in the unified Germany," SSE/EFI Working Paper Series in Economics and Finance 113, Stockholm School of Economics.
- Wolters, J. & Teräsvirta, T. & Lütkepohl, H., 1996. "Modelling the Demand for M3 in the Unified Germany," SFB 373 Discussion Papers 1996,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Terasvirta, Timo, 1997. "The International Institute of Forecasters Award for the Best Forecasting Paper," International Journal of Forecasting, Elsevier, vol. 13(4), pages 591-592, December.
- Teräsvirta Timo, 1996.
"Power Properties of Linearity Tests for Time Series,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(1), pages 1-10, April.
- Teräsvirta, Timo, 1996. "Power Properties of Linearity Tests for Time Series," SSE/EFI Working Paper Series in Economics and Finance 94, Stockholm School of Economics.
- Eitrheim, Oyvind & Terasvirta, Timo, 1996.
"Testing the adequacy of smooth transition autoregressive models,"
Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
- Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
- Jansen, Eilev S & Terasvirta, Timo, 1996.
"Testing Parameter Constancy and Super Exogeneity in Econometric Equations,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 735-763, November.
- Jansen, Eilev S. & Teräsvirta, Timo, 1995. "Testing Parameter Constancy and super Exogeneity in Econometric Equations," SSE/EFI Working Paper Series in Economics and Finance 53, Stockholm School of Economics.
- Kauppi, Eija & Lassila, Jukka & Terasvirta, Timo, 1996. "Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993," International Journal of Forecasting, Elsevier, vol. 12(3), pages 373-381, September.
- Terasvirta, Timo, 1995. "Professor Clive W.J. Granger: An interview for the International Journal of Forecasting," International Journal of Forecasting, Elsevier, vol. 11(4), pages 585-590, December.
- Terasvirta, Timo, 1995. "Modelling Nonlinearity in U.S. Gross National Product 1889-1987," Empirical Economics, Springer, vol. 20(4), pages 577-597.
- Deutsch, Melinda & Granger, Clive W. J. & Terasvirta, Timo, 1994. "The combination of forecasts using changing weights," International Journal of Forecasting, Elsevier, vol. 10(1), pages 47-57, June.
- Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
- Timo Teräsvirta & Chien‐Fu Lin & Clive W. J. Granger, 1993. "Power Of The Neural Network Linearity Test," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(2), pages 209-220, March.
- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
- Boucelham, Jamel & Terasvirta, Timo, 1990. "Use of preliminary values in forecasting industrial production," International Journal of Forecasting, Elsevier, vol. 6(4), pages 463-468, December.
- Rahiala, Markku & Terasvirta, Timo, 1988. "Formation of Firms' Production Decisions in Finnish Manufacturing Industries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 125-137, April.
- Terasvirta, Timo, 1987. "Usefulness of proxy variables in linear models with stochastic regressors," Journal of Econometrics, Elsevier, vol. 36(3), pages 377-382, November.
- Judge, George & Yi, Gang & Yancey, Thomas & Terasvirta, Timo, 1987. "The extended Stein procedure for simultaneous model selection and parameter estimation," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 375-391, July.
- Timo Teräsvirta, 1985. "Mink And Muskrat Interaction:A Structural Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(3), pages 171-180, May.
- Terasvirta, Timo, 1982. "Underestimation of mean square error matrix in misspecified linear models," Journal of Econometrics, Elsevier, vol. 18(2), pages 281-284, February.
- Terasvirta, T, 1980.
"The Polynomial Distributed Lag Revisited,"
Empirical Economics, Springer, vol. 5(2), pages 69-81.
- Teräsvirta, T., 1980. "The polynomial distributed lag revisited," LIDAM Reprints CORE 438, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Leskinen, Esko & Terasvirta, Timo, 1976. "Forecasting the consumption of alcoholic beverages in Finland : A box-Jenkins approach," European Economic Review, Elsevier, vol. 8(4), pages 349-369, December.
- Terasvirta, Timo, 1976.
"A Note on Bias in the Almon Distributed Lag Estimator,"
Econometrica, Econometric Society, vol. 44(6), pages 1317-1321, November.
RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:67-94 is not listed on IDEAS
Chapters
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013.
"Unit roots, non-linearities and structural breaks,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94,
Edward Elgar Publishing.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
- Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models☆The views expressed in this article are those of the authors and should not be interpreted as reflecting the views of the European Cen," Advances in Econometrics, in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, volume 32, pages 273-326, Emerald Group Publishing Limited.
- Terasvirta, Timo, 2006.
"Forecasting economic variables with nonlinear models,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457,
Elsevier.
- Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
- Clive W. Granger & Timo Terasvirta & Heather M. Anderson, 1993. "Modeling Nonlinearity over the Business Cycle," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 311-326, National Bureau of Economic Research, Inc.
- Terasvirta, Timo & Tjostheim, Dag & W.J. Granger, Clive, 1986. "Aspects of modelling nonlinear time series," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 48, pages 2917-2957, Elsevier.
Books
- Terasvirta, Timo & Tjostheim, Dag & Granger, Clive W. J., 2010. "Modelling Nonlinear Economic Time Series," OUP Catalogue, Oxford University Press, number 9780199587155.
- Barnett,William A. & Hendry,David F. & Hylleberg,Svend & Teräsvirta,Timo & Tjøstheim,Dag & Würtz,All (ed.), 2006. "Nonlinear Econometric Modeling in Time Series," Cambridge Books, Cambridge University Press, number 9780521028684, September.
- Barnett,William A. & Hendry,David F. & Hylleberg,Svend & Teräsvirta,Timo & Tjøstheim,Dag & Würtz,All (ed.), 2000. "Nonlinear Econometric Modeling in Time Series," Cambridge Books, Cambridge University Press, number 9780521594240, September.
- Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 88 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.- NEP-ETS: Econometric Time Series (76) 1998-07-06 1998-10-08 1998-10-15 1999-01-18 1999-01-18 1999-02-08 1999-05-03 1999-05-10 2000-01-24 2000-01-24 2000-04-17 2000-06-12 2000-08-02 2002-09-21 2002-09-21 2002-09-21 2002-12-02 2002-12-02 2002-12-02 2003-09-08 2004-02-29 2004-03-14 2004-07-18 2004-07-26 2004-09-12 2005-01-23 2005-04-03 2005-09-11 2005-09-11 2005-10-29 2005-11-19 2005-11-19 2006-12-01 2006-12-16 2007-01-13 2007-02-10 2007-06-11 2007-08-18 2007-09-16 2007-11-24 2008-02-02 2008-03-01 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2009-02-22 2010-01-16 2011-01-23 2011-05-24 2011-06-25 2011-08-02 2011-09-16 2011-09-16 2012-03-14 2012-03-14 2012-05-02 2013-06-16 2014-02-15 2014-03-01 2014-04-11 2015-04-11 2015-04-11 2015-11-01 2016-05-21 2017-03-26 2017-03-26 2017-10-08 2018-05-07 2019-02-11 2019-11-11 2019-11-11 2019-11-11 2021-10-04 2022-01-24. Author is listed
- NEP-ECM: Econometrics (66) 1998-07-13 1998-10-08 1998-10-19 1998-10-19 1999-01-18 1999-01-18 1999-02-08 2000-01-24 2000-01-24 2000-04-17 2000-06-12 2000-08-02 2001-09-26 2002-09-21 2002-09-21 2002-09-21 2002-12-10 2002-12-10 2003-09-08 2004-03-03 2004-03-14 2004-07-18 2004-09-12 2005-01-23 2005-04-03 2005-09-11 2005-09-11 2005-10-29 2005-11-19 2005-11-19 2006-12-01 2006-12-16 2007-01-13 2007-02-10 2007-06-11 2007-08-18 2007-09-16 2007-11-24 2008-02-02 2009-02-22 2010-01-16 2011-01-23 2011-05-24 2011-09-16 2011-09-16 2012-02-27 2012-03-14 2012-05-02 2012-12-10 2013-06-16 2014-02-15 2014-03-01 2014-04-11 2014-04-11 2015-11-01 2016-05-21 2017-03-26 2017-03-26 2017-04-09 2017-10-08 2018-05-07 2019-02-11 2019-11-11 2019-11-11 2021-10-04 2022-01-24. Author is listed
- NEP-ORE: Operations Research (15) 2008-06-27 2009-02-22 2011-05-24 2011-06-25 2011-09-16 2012-05-02 2014-03-01 2017-03-26 2017-10-08 2019-11-11 2019-11-11 2019-11-11 2019-11-18 2021-10-04 2022-01-24. Author is listed
- NEP-FOR: Forecasting (8) 2009-02-22 2010-01-16 2011-08-02 2011-09-16 2011-09-16 2012-02-27 2012-03-14 2017-04-09. Author is listed
- NEP-CMP: Computational Economics (7) 2001-09-26 2002-09-21 2004-07-18 2004-07-26 2010-01-16 2011-09-16 2011-09-16. Author is listed
- NEP-FIN: Finance (6) 2004-03-14 2004-09-12 2004-10-30 2005-01-23 2005-10-29 2005-11-19. Author is listed
- NEP-ENV: Environmental Economics (5) 1998-10-08 2012-12-10 2019-11-11 2019-11-11 2023-04-17. Author is listed
- NEP-MAC: Macroeconomics (4) 2004-07-26 2009-02-22 2017-10-08 2023-04-17
- NEP-RMG: Risk Management (4) 2004-02-29 2004-03-14 2011-01-23 2022-01-24
- NEP-CBA: Central Banking (3) 2009-02-22 2011-08-02 2011-09-16
- NEP-IFN: International Finance (3) 1998-07-06 2003-09-08 2004-10-30
- NEP-MON: Monetary Economics (3) 1998-10-15 2009-02-22 2011-08-02
- NEP-DGE: Dynamic General Equilibrium (2) 1998-07-06 2001-03-13
- NEP-ENE: Energy Economics (2) 2014-04-11 2015-04-11
- NEP-GER: German Papers (2) 2014-04-11 2014-04-11
- NEP-ICT: Information and Communication Technologies (2) 2006-12-01 2007-02-10
- NEP-DCM: Discrete Choice Models (1) 2014-04-11
- NEP-DES: Economic Design (1) 2023-04-17
- NEP-DEV: Development (1) 2000-01-24
- NEP-ENT: Entrepreneurship (1) 2001-09-26
- NEP-EVO: Evolutionary Economics (1) 2001-09-26
- NEP-FMK: Financial Markets (1) 2012-03-14
- NEP-GTH: Game Theory (1) 1998-08-24
- NEP-HIS: Business, Economic and Financial History (1) 2017-03-26
- NEP-HPE: History and Philosophy of Economics (1) 2017-03-26
- NEP-IND: Industrial Organization (1) 2014-04-11
- NEP-LTV: Unemployment, Inequality and Poverty (1) 1998-10-15
- NEP-NET: Network Economics (1) 2001-09-26
- NEP-SOG: Sociology of Economics (1) 2014-02-15
- NEP-TID: Technology and Industrial Dynamics (1) 2001-03-13
- NEP-URE: Urban and Real Estate Economics (1) 2023-04-17
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