Timo Teräsvirta : Citation Profile


Are you Timo Teräsvirta?

Aarhus Universitet

27

H index

48

i10 index

3351

Citations

RESEARCH PRODUCTION:

60

Articles

120

Papers

2

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   40 years (1976 - 2016). See details.
   Cites by year: 83
   Journals where Timo Teräsvirta has often published
   Relations with other researchers
   Recent citing documents: 237.    Total self citations: 69 (2.02 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pte1
   Updated: 2017-09-23    RAS profile: 2017-07-06    
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Relations with other researchers


Works with:

Silvennoinen, Annastiina (8)

Amado, Cristina (5)

Yang, Yukai (4)

Hurn, Stan (3)

Kock, Anders (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Timo Teräsvirta.

Is cited by:

Milas, Costas (78)

Mignon, Valérie (66)

Medeiros, Marcelo (64)

GUPTA, RANGAN (58)

Ubilava, David (56)

Franses, Philip Hans (49)

Holt, Matthew (46)

van Dijk, Dick (45)

Balcilar, Mehmet (45)

Reitz, Stefan (44)

JAWADI, Fredj (41)

Cites to:

Engle, Robert (53)

Granger, Clive (27)

Bollerslev, Tim (26)

Hansen, Bruce (24)

White, Halbert (20)

Perron, Pierre (19)

Jagannathan, Ravi (11)

Saikkonen, Pentti (11)

Silvennoinen, Annastiina (11)

Sentana, Enrique (11)

van Dijk, Dick (10)

Main data


Where Timo Teräsvirta has published?


Journals with more than one article published# docs
Journal of Econometrics13
International Journal of Forecasting8
Journal of Applied Econometrics6
Econometrics Journal3
Studies in Nonlinear Dynamics & Econometrics3
Journal of Financial Econometrics3
Econometric Reviews3
Oxford Bulletin of Economics and Statistics2
Scandinavian Journal of Economics2
Empirical Economics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Discussion Papers / The Research Institute of the Finnish Economy6
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes5
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney4
Textos para discusso / Department of Economics PUC-Rio (Brazil)3
NCER Working Paper Series / National Centre for Econometric Research2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute2

Recent works citing Timo Teräsvirta (2017 and 2016)


YearTitle of citing document
2016Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01.

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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Silvennoinen, Annastiina ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Modelling and forecasting WIG20 daily returns. (2017). Amado, Cristina ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-29.

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2016Price duration versus trading volume in high-frequency data for selected DAX companies. (2016). Gurgul, Henryk ; Syrek, Robert ; Mitterer, Christoph . In: Managerial Economics. RePEc:agh:journl:v:17:y:2016:i:2:p:241-260.

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2016On the Economics of Commodity Price Dynamics and Price Volatility. (2016). Chavas, Jean-Paul ; Li, Jian . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235070.

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2017“Regional tourism demand forecasting with machine learning models: Gaussian process regression vs. neural network models in a multiple-input multiple-output setting”. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric . In: AQR Working Papers. RePEc:aqr:wpaper:201701.

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2016FX Options in Target Zone. (2016). Carr, Peter ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1512.01527.

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2016Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models. (2016). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth . In: Papers. RePEc:arx:papers:1602.05323.

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2016Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach. (2016). Pinz, Kathia . In: Papers. RePEc:arx:papers:1611.05288.

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2016Stylized Facts and Simulating Long Range Financial Data. (2016). Davies, Laurie ; Kramer, Walter . In: Papers. RePEc:arx:papers:1612.05229.

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2017Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2017A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points. (2017). Xing, Haipeng ; Zhou, Sichen ; Yuan, Hongsong . In: Review of Economics & Finance. RePEc:bap:journl:170204.

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2016Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach. (2016). Rodríguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto . In: Borradores de Economia. RePEc:bdr:borrec:930.

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2016Nonlinearities of mortgage spreads over the business cycles. (2016). Cheng, Chak Hung Jack ; Chiu, Ching-Wai (Jeremy) ; Jack, Chak Hung . In: Bank of England working papers. RePEc:boe:boeewp:0634.

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2017Uncertainty and monetary policy in good and bad times. (2017). Castelnuovo, Efrem ; Caggiano, Giovanni ; Nodari, Gabriela . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_008.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2016Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector. (2016). Ericsson, Neil ; Neil, Ericsson . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:377-398:n:6.

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2017Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach. (2017). JAWADI, Fredj ; Souhir, Chlibi ; Mohamed, Sellami ; Fredj, Jawadi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:47-63:n:5.

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2017A Markov-switching regression model with non-Gaussian innovations: estimation and testing. (2017). De Angelis, Luca ; Cinzia, Viroli . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:2:p:22:n:3.

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2017Changes in persistence, spurious regressions and the Fisher hypothesis. (2017). Ventosa-Santaulària, Daniel ; Antonio, Noriega ; Daniel, Ventosa-Santaularia ; Robinson, Kruse . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:28:n:1.

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2016Is Aid Unfriendly to Tax? African Evidence of Heterogeneous Direct and Indirect Effects. (2016). Yohou, Djedje Hermann ; Laporte, Bertrand ; goujon, michael ; Guerineau, Samuel . In: Working Papers. RePEc:cdi:wpaper:1811.

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2016Stylized Facts and Simulating Long Range Financial Data. (2016). Krämer, Walter ; Kraemer, Walter ; Davies, Laurie . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5796.

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2016A Neglected Semi-Stylized Fact of Daily Stock Returns. (2016). Krämer, Walter ; Kraemer, Walter ; Davies, Laurie . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5806.

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2016Updated Reference Forecasts for Global CO2 Emissions from Fossil-Fuel Consumption. (2016). Pereira, Alfredo ; Belbute, Jose . In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2016_08.

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2016On the impact of dollar movements on oil currencies. (2016). Gomes, Gabriel. In: Working Papers. RePEc:cii:cepidt:2016-11.

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2016Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach. (2016). Rodríguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto . In: BORRADORES DE ECONOMIA. RePEc:col:000094:014299.

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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Bauwens, Luc ; Augustyniak, Maciej ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

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2017Estimating Fiscal multipliers in the Eurozone. A Nonlinear Panel Data Approach.. (2017). Perdichizzi, Salvatore . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def058.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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2017The Reaction of Stock Market Returns to Unemployment. (2017). Taamouti, Abderrahim ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:24120.

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2017Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market. (2017). Torrado, Maria ; Saez, Alvaro Escribano . In: UC3M Working papers. Economics. RePEc:cte:werepe:24984.

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2017MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION. (2017). Dufrenot, Gilles ; Khayat, Guillaume A. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:05:p:1175-1188_00.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2016Reassessing the empirical relationship between the oil price and the dollar. (2016). Mignon, Valérie ; Coudert, Virginie. In: EconomiX Working Papers. RePEc:drm:wpaper:2016-2.

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2017Inflation Targeting and the Forward Bias Puzzle in Emerging Countries. (2017). Kempf, Hubert ; Coulibaly, Dramane. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-12.

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2016Time-Varying VAR with Stochastic Volatility and Monetary Policy Dynamics in Nigeria. (2016). Abdullahi, Bala Dahiru . In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00603.

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2016Attractor misspecification and threshold estimation bias. (2016). Norman, Stephen . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00104.

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2017The effects on economic growth of natural resources in Sub-Saharan Africa: Does the quality of institutions matters?. (2017). TSOPMO, Pierre Christian ; Mondjeli, Itchoko Motande . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00550.

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2016Non-Linear Modelling of Money Demand in Tunisia: Evidence from the STAR Model. (2016). HAMDI, Helmi ; Mgadmi, Nidhal ; Rachdi, Houssem . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00659.

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2017Modeling nonlinear water demand : The case of Tunisia. (2017). Ben Cheikh, Nidhaleddine ; Younes, Ben Zaied ; Nguyen, Pascal ; ben Zaied, Younes . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00022.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2017A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446.

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2016Correlation changes between the risk-free rate and sovereign yields of euro area countries. (2016). De Santis, Roberto ; Stein, Michael ; Desantis, Roberto . In: Working Paper Series. RePEc:ecb:ecbwps:20161979.

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2016Forecast of Employment in Switzerland: The Macroeconomic View. (2016). Toth, Daniel ; Anova, Petra ; Rezbova, Helena ; Redl, Karel ; Maitah, Mansoor . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-17.

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2016Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. (2016). Gyamfi, Emmanuel Numapau ; Kyei, Kwabena A. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-49.

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2016The Asymmetric Effects of Oil Price Shocks on the Canadian Economy. (2016). Wilmot, Neil ; Donayre, Luiggi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-02-4.

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2016Nonlinear and time-varying growth-tourism causality. (2016). Liu, Shiao-Yen ; Wu, Po-Chin ; Huang, Tsai-Yuan ; Hsiao, Juei-Ming . In: Annals of Tourism Research. RePEc:eee:anture:v:59:y:2016:i:c:p:45-59.

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2016Oil price and exchange rate in India: Fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests. (2016). Tiwari, Aviral ; Albulescu, Claudiu. In: Applied Energy. RePEc:eee:appene:v:179:y:2016:i:c:p:272-283.

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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix . In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016Testing for the number of states in hidden Markov models. (2016). Holzmann, Hajo ; Schwaiger, Florian . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:318-330.

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2016Robust closed-form estimators for the integer-valued GARCH (1,1) model. (2016). Li, QI ; Zhu, Fukang ; Lian, Heng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:101:y:2016:i:c:p:209-225.

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2016Diagnostic checking of the vector multiplicative error model. (2016). Ng, F C ; Li, W K. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:86-97.

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2016A note on the cyclical behavior of sectoral employment in the U.S.. (2016). Nath, Hiranya. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:50:y:2016:i:c:p:52-61.

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2016The role of savings rate in exchange rate and trade imbalance nexus: Cross-countries evidence. (2016). Chiu, Yi-Bin ; Sun, Chia-Hung D. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:1017-1025.

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2016Reexamining the relationship between inflation and growth: Do institutions matter in developing countries?. (2016). Trupkin, Danilo ; Ibarra, Raul. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:332-351.

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2016Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined. (2016). Sandberg, Rickard . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:699-713.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2016Long memory and structural change in the G7 inflation dynamics. (2016). Belkhouja, Mustapha ; Mootamri, Imene . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:450-462.

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2016A multiple threshold analysis of the Feds balancing act during the Great Moderation. (2016). Ahmad, Saad . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:343-358.

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2016Stock market liquidity and economic cycles: A non-linear approach. (2016). Switzer, Lorne ; Picard, Alan . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:106-119.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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2017The growth-volatility nexus: New evidence from an augmented GARCH-M model. (2017). Trypsteen, Steven. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:15-25.

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2016Re-examining risk premiums in the Fama–French model: The role of investor sentiment. (2016). Wu, Po-Chin ; Chen, Che-Ying ; Liu, Shiao-Yen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:154-171.

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2016Globalization and insurance activity: Evidence on the industrial and emerging countries. (2016). Lee, Chien-Chiang ; Chiu, Yi-Bin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:328-349.

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2016The effect of investors’ confidence on monetary policy transmission mechanism. (2016). Guerello, Chiara. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:248-266.

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2016Linear and nonlinear dynamic relationships between housing prices and trading volumes. (2016). I-Chun Tsai, ; Peng, Chien-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:172-184.

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2017Pair trading based on quantile forecasting of smooth transition GARCH models. (2017). Chen, Cathy W. S. ; Sriboonchitta, Songsak ; Wang, Zona ; Lee, Sangyeol . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:38-55.

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2016A unit root test against globally stationary ESTAR models when local condition is non-stationary. (2016). Hu, Junjuan ; Chen, Zhenlong . In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:89-94.

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2016Wild bootstrap Ljung–Box test for cross correlations of multivariate time series. (2016). Lee, Taewook . In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:59-62.

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2017Economic policy uncertainty and unemployment in the United States: A nonlinear approach. (2017). Figueres, Juan ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:31-34.

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2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271.

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2016Root-T consistent density estimation in GARCH models. (2016). Delaigle, Aurore ; Rombouts, Jeroen ; Meister, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:55-63.

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2016Inference on co-integration parameters in heteroskedastic vector autoregressions. (2016). Taylor, Robert ; Cavaliere, Giuseppe ; Boswijk, H. Peter ; Robert, A M ; Rahbek, Anders . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:64-85.

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2016Modeling covariance breakdowns in multivariate GARCH. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:1-23.

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2017Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Learning can generate long memory. (2017). Chevillon, Guillaume ; Mavroeidis, Sophocles . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:1-9.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2017Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, Paul. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84.

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2016Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China. (2016). Ma, Yong . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:3:p:461-480.

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2017European Exchange Trading Funds Trading with Locally Weighted Support Vector Regression. (2017). Sermpinis, Georgios ; De la Fuente, David ; Rosillo, Rafael ; Stasinakis, Charalampos . In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:1:p:372-384.

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2017Nonlinear manifold learning for early warnings in financial markets. (2017). Peng, YI ; Huang, Yan ; Kou, Gang . In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:2:p:692-702.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andres ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

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2016A test of asymmetric comovement for state-dependent stock returns. (2016). Deng, Kaihua . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:68-85.

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2016Dynamic asymmetries in house price cycles: A generalized smooth transition model. (2016). Zanetti Chini, Emilio ; Canepa, Alessandra. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:91-103.

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2016Monitoring multivariate variance changes. (2016). Galeano, Pedro ; Wied, Dominik ; Pape, Katharina . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2016Volatility linkages between energy and agricultural commodity prices. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:190-203.

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2016Modeling and forecasting multivariate electricity price spikes. (2016). Eichler, Michael ; Manner, Hans ; Turk, Dennis . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:255-265.

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2016Reassessing the empirical relationship between the oil price and the dollar. (2016). Mignon, Valérie ; Coudert, Virginie. In: Energy Policy. RePEc:eee:enepol:v:95:y:2016:i:c:p:147-157.

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2016A grey neural network and input-output combined forecasting model. Primary energy consumption forecasts in Spanish economic sectors. (2016). Liu, Xiuli ; Garcia, Ana Salome ; Moreno, Blanca . In: Energy. RePEc:eee:energy:v:115:y:2016:i:p1:p:1042-1054.

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2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Ingham, Hilary ; Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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2016Debt-threshold effect in sovereign credit ratings: New evidence from nonlinear panel smooth transition models. (2016). Ben Cheikh, Nidhaleddine ; ben Hmiden, Oussama . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:273-278.

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2017Cross-financial-market correlations and quantitative easing. (2017). Zhang, Jie ; Zhong, Rui ; Kryzanowski, Lawrence . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:13-21.

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2016Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. (2016). Muradoglu, Yaz ; Mobarek, Asma ; Jun, AI ; Mollah, Sabur . In: Journal of Financial Stability. RePEc:eee:finsta:v:24:y:2016:i:c:p:1-11.

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2016Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach. (2016). GUPTA, RANGAN ; van Eyden, Renee ; Balcilar, Mehmet ; Thompson, Kirsten . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:30-43.

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More than 100 citations found, this list is not complete...

Timo Teräsvirta has edited the books:


YearTitleTypeCited

Works by Timo Teräsvirta:


YearTitleTypeCited
2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers.
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paper56
2007Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 56
paper
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 56
article
2008Multivariate GARCH models In: CREATES Research Papers.
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paper57
2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 57
paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
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paper16
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 16
article
2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 16
paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers.
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paper22
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 22
paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 22
paper
2008Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers.
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paper15
2012Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form.(2012) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 15
paper
2009Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers.
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paper9
2011Forecasting inflation with gradual regime shifts and exogenous information.(2011) In: Working Paper Series.
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This paper has another version. Agregated cites: 9
paper
2010Forecasting with nonlinear time series models In: CREATES Research Papers.
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paper11
2011Modelling Volatility by Variance Decomposition In: CREATES Research Papers.
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paper30
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 30
article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 30
paper
2011Nonlinear models for autoregressive conditional heteroskedasticity In: CREATES Research Papers.
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paper1
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations In: CREATES Research Papers.
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paper7
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 7
paper
2014Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 7
article
2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers.
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paper4
2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers.
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paper7
2014Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009.(2014) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
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paper23
2014Modelling changes in the unconditional variance of long stock return series.(2014) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 23
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series.(2012) In: NIPE Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
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paper14
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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This paper has another version. Agregated cites: 14
article
2012Unit roots, nonlinearities and structural breaks In: CREATES Research Papers.
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paper4
2013Unit roots, non-linearities and structural breaks.(2013) In: Chapters.
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chapter
2012Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis In: CREATES Research Papers.
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paper2
2013Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper10
2014A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model In: CREATES Research Papers.
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paper1
2014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers.
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paper23
2014Linearity and misspecification tests for vector smooth transition regression models.(2014) In: CORE Discussion Papers.
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paper
2014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers.
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paper18
2014Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 18
paper
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
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paper2
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 2
paper
2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 2
article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
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paper0
2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 0
paper
2006Modelling autoregressive processes with a shifting mean In: Borradores de Economia.
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paper8
2008Modelling Autoregressive Processes with a Shifting Mean.(2008) In: Studies in Nonlinear Dynamics & Econometrics.
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article
2006Modelling autoregressive processes with a shifting mean.(2006) In: BORRADORES DE ECONOMIA.
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paper
2007Modelling autoregressive processes with a shifting mean.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article74
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 74
paper
2006Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics.
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article44
2004Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 44
paper
1996Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article81
1995Testing Parameter Constancy and super Exogeneity in Econometric Equations.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 81
paper
2006Simulation-based Finite Sample Linearity Test against Smooth Transition Models In: Oxford Bulletin of Economics and Statistics.
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article5
2005Simulation-based finite-sample linearity test against smooth transition models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
1998 Comment on N. R. Ericsson, D. F. Hendry and K. M. Prestwich, The Demand for Broad Money in the United Kingdom, 1878-1993. In: Scandinavian Journal of Economics.
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article0
1985 Modelling the Dynamic Relationship between Wages and Prices in Finland. In: Scandinavian Journal of Economics.
[Citation analysis]
article2
1996Power Properties of Linearity Tests for Time Series In: Studies in Nonlinear Dynamics & Econometrics.
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article4
1996Power Properties of Linearity Tests for Time Series.(1996) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
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paper2
2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
Some results on improving the least squares estimation of linear models by mixed estimation In: CORE Discussion Papers RP.
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paper0
The polynomial distributed lag revisited In: CORE Discussion Papers RP.
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paper0
1980The Polynomial Distributed Lag Revisited..(1980) In: Empirical Economics.
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2004A Time Series Model for an Exchange Rate in a Target Zone with Applications In: Econometric Society 2004 Australasian Meetings.
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2006A time series model for an exchange rate in a target zone with applications.(2006) In: Journal of Econometrics.
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2003A time series model for an exchange rate in a target zone with applications.(2003) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
1976A Note on Bias in the Almon Distributed Lag Estimator. In: Econometrica.
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2009Testing for volatility interactions in the Constant Conditional Correlation GARCH model In: Econometrics Journal.
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article29
2007Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
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article24
2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
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paper
2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 24
paper
2006A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal.
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article9
1986Aspects of modelling nonlinear time series In: Handbook of Econometrics.
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chapter3
2006Forecasting economic variables with nonlinear models In: Handbook of Economic Forecasting.
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chapter12
2005Forecasting economic variables with nonlinear models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
1999A simple nonlinear time series model with misleading linear properties In: Economics Letters.
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article100
1998A simple nonlinear time series model with misleading linear properties.(1998) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2002Long memory and nonlinear time series In: Journal of Econometrics.
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article9
2002Evaluating GARCH models In: Journal of Econometrics.
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article68
1999Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
1999Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers.
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paper
2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
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article37
2003Common factors in conditional distributions for Bivariate time series.(2003) In: FMG Discussion Papers.
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paper
2007Testing constancy of the error covariance matrix in vector models In: Journal of Econometrics.
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article4
2006Testing constancy of the error covariance matrix in vector models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
1982Underestimation of mean square error matrix in misspecified linear models In: Journal of Econometrics.
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1987The extended Stein procedure for simultaneous model selection and parameter estimation In: Journal of Econometrics.
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article1
1987Usefulness of proxy variables in linear models with stochastic regressors In: Journal of Econometrics.
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article2
1994Testing the constancy of regression parameters against continuous structural change In: Journal of Econometrics.
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article165
1996Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics.
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article342
1995Testing the Adequacy of Smooth Transition Autoregressive Models.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Testing parameter constancy in linear models against stochastic stationary parameters In: Journal of Econometrics.
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1995Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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1995Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters.(1995) In: SFB 373 Discussion Papers.
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1999Properties of moments of a family of GARCH processes In: Journal of Econometrics.
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1997Properties of Moments of a Family of GARCH Processes.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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1976Forecasting the consumption of alcoholic beverages in Finland : A box-Jenkins approach In: European Economic Review.
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2008Positivity constraints on the conditional variances in the family of conditional correlation GARCH models In: Finance Research Letters.
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0Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models.(0) In: SSE/EFI Working Paper Series in Economics and Finance.
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1994The combination of forecasts using changing weights In: International Journal of Forecasting.
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1995Professor Clive W.J. Granger: An interview for the International Journal of Forecasting In: International Journal of Forecasting.
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1996Short-term forecasting of industrial production with business survey data: experience from Finlands great depression 1990-1993 In: International Journal of Forecasting.
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article3
1997The International Institute of Forecasters Award for the Best Forecasting Paper In: International Journal of Forecasting.
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2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
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article57
2004Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
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2005Reply In: International Journal of Forecasting.
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1990Use of preliminary values in forecasting industrial production In: International Journal of Forecasting.
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article1
2000Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers.
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paper411
2001Smooth Transition Autoregressive Models - A Survey of Recent Developments.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews.
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2013Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques In: Finnish Economic Papers.
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article0
1999A General Framework for Testing the Granger Noncausality Hypothesis. In: G.R.E.Q.A.M..
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paper9
1999A general framework for testing the Granger noncausality hypothesis.(1999) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
1995Investigating Stability and Linearity of a German M1 Money Demand Function In: SSE/EFI Working Paper Series in Economics and Finance.
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paper52
1999Investigating Stability and Linearity of a German M1 Money Demand Function..(1999) In: Journal of Applied Econometrics.
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article
1995Investigating Stability and Linearity of a German M1 Money Demand Function.(1995) In: SFB 373 Discussion Papers.
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paper
1996Testing Linearity against Nonlinear Moving Average Models In: SSE/EFI Working Paper Series in Economics and Finance.
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paper0
1997Testing Linearity against Nonlinear Moving Average Models.(1997) In: Umeå Economic Studies.
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paper
1996Two Stylized Facts and the Garch (1,1) Model In: SSE/EFI Working Paper Series in Economics and Finance.
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paper3
1996Modelling the Demand for M3 in the unified Germany In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
paper45
1998Modeling The Demand For M3 In The Unified Germany.(1998) In: The Review of Economics and Statistics.
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article
1996Modelling the Demand for M3 in the Unified Germany.(1996) In: SFB 373 Discussion Papers.
[Citation analysis]
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paper
1996Stylized Facts of Daily Return Series and the Hidden Markov Model In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
paper82
1998Stylized facts of daily return series and the hidden Markov model.(1998) In: Journal of Applied Econometrics.
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article
1996Another Look at Swedish Business Cycles, 1861-1988 In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Another Look at Swedish Business Cycles, 1861-1988..(1999) In: Journal of Applied Econometrics.
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1996Another Look at Swedish Business Cycles, 1861-1988.(1996) In: SFB 373 Discussion Papers.
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paper
1996Modelling Economic Relationships with Smooth Transition Regressions In: SSE/EFI Working Paper Series in Economics and Finance.
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paper1
1996Smooth Transition Models In: SSE/EFI Working Paper Series in Economics and Finance.
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paper1
1997Fourth Moment Structure of the GARCH (p, q) Process In: SSE/EFI Working Paper Series in Economics and Finance.
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paper2
1997Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints In: SSE/EFI Working Paper Series in Economics and Finance.
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paper0
1997Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance.
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paper3
1998Modelling asymmetries and moving equilibria in unemployment rates In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
paper106
1998A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance.
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paper23
1998Nonlinear error-correction and the UK demand for broad money, 1878-1993 In: SSE/EFI Working Paper Series in Economics and Finance.
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paper20
2001Non-linear error correction and the UK demand for broad money, 1878-1993.(2001) In: Journal of Applied Econometrics.
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1998Modelling economic high-frequency time series with STAR-STGARCH models In: SSE/EFI Working Paper Series in Economics and Finance.
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paper12
2000A simple variable selection technique for nonlinear models In: SSE/EFI Working Paper Series in Economics and Finance.
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paper17
1999A simple variable selection technique for nonlinear models.(1999) In: SFB 373 Discussion Papers.
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1999Higher-order dependence in the general Power ARCH process and a special case In: SSE/EFI Working Paper Series in Economics and Finance.
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paper6
1999THE NET BARTER TERMS OF TRADE : A SMOOTH TRANSITION APPROACH In: SSE/EFI Working Paper Series in Economics and Finance.
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paper5
2003The net barter terms of trade: A smooth transition approach.(2003) In: International Journal of Finance & Economics.
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1999Fourth Moment Structure of a Family of First-Order Exponential GARCH Models In: SSE/EFI Working Paper Series in Economics and Finance.
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paper9
1999Fourth Moment Structure of a Family of First-Order Exponential GARCH Models.(1999) In: Research Paper Series.
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paper
2000Forecasting with smooth transition autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance.
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paper2
2004Testing parameter constancy in stationary vector autoregressive models against continuous change In: SSE/EFI Working Paper Series in Economics and Finance.
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paper9
2009Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change.(2009) In: Econometric Reviews.
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article
2002Building neural network models for time series: A statistical approach In: SSE/EFI Working Paper Series in Economics and Finance.
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paper32
2006Building neural network models for time series: a statistical approach.(2006) In: Journal of Forecasting.
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2002Building Neural Network Models for Time Series: A Statistical Approach.(2002) In: Textos para discussão.
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