Timo Teräsvirta : Citation Profile

Are you Timo Teräsvirta?

Aarhus Universitet (50% share)
Humboldt-Universität Berlin (50% share)

33

H index

59

i10 index

4395

Citations

RESEARCH PRODUCTION:

73

Articles

137

Papers

2

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   44 years (1976 - 2020). See details.
   Cites by year: 99
   Journals where Timo Teräsvirta has often published
   Relations with other researchers
   Recent citing documents: 249.    Total self citations: 94 (2.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pte1
   Updated: 2020-10-17    RAS profile: 2020-02-03    
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Relations with other researchers

Works with:

Silvennoinen, Annastiina (12)

Amado, Cristina (6)

Cho, Jin Seo (2)

Hurn, Stan (2)

Yang, Yukai (2)

van Dijk, Dick (2)

Gonzalez, Andres (2)

Holt, Matthew (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 (84)

Mignon, Valérie (75)

Medeiros, Marcelo (70)

GUPTA, RANGAN (63)

Ubilava, David (59)

Holt, Matthew (52)

Balcilar, Mehmet (52)

Zanetti Chini, Emilio (51)

JAWADI, Fredj (51)

Reitz, Stefan (51)

Franses, Philip Hans (50)

Cites to:

Engle, Robert (71)

Bollerslev, Tim (42)

Granger, Clive (29)

Hansen, Bruce (26)

Amado, Cristina (23)

White, Halbert (21)

Silvennoinen, Annastiina (20)

Perron, Pierre (20)

Jagannathan, Ravi (19)

Saikkonen, Pentti (14)

van Dijk, Dick (13)

Main data

Where Timo Teräsvirta has published?

Journals with more than one article published# docs
Journal of Econometrics14
International Journal of Forecasting8
Econometric Reviews6
Journal of Applied Econometrics6
Econometric Theory3
Studies in Nonlinear Dynamics & Econometrics3
Journal of Financial Econometrics3
Econometrics Journal3
Journal of Time Series Analysis3
Oxford Bulletin of Economics and Statistics2
Journal of Business & Economic Statistics2
Macroeconomic Dynamics2
Empirical Economics2

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, Sydney5
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 (2020 and 2019)

YearTitle of citing document
2020Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory. (2020). Pellegrino, Giovanni. In: Economics Working Papers. RePEc:aah:aarhec:2020-05.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2019Insurance Policy Thresholds for Economic Growth in Africa. (2019). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/037.

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2020Finance, inequality and inclusive education in Sub-Saharan Africa. (2020). Asongu, Simplice ; Acha-Anyi, Paul N ; Nnanna, Joseph. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/050.

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2019Human capital and the FDI-Income inequality nexus in African countries: Panel smooth transition regression approach. (2019). Yeboua, Kouassi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(618):y:2019:i:1(618):p:73-88.

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2019Human capital and the FDI-Income inequality nexus in African countries: Panel smooth transition regression approach. (2019). Yeboua, Kouassi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:1(618):p:73-88.

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2019Non-linear finance-growth nexus for African countries: A panel smooth transition regression approach. (2019). Jobarteh, Mustapha ; Kaya, Huseyin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:3(620):p:205-222.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019A Bootstrap Test for the Existence of Moments for GARCH Processes. (2019). Heinemann, Alexander. In: Papers. RePEc:arx:papers:1902.01808.

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2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2019A simulation of the insurance industry: The problem of risk model homogeneity. (2019). Farmer, Doyne J ; Sabuco, Juan ; Heinrich, Torsten. In: Papers. RePEc:arx:papers:1907.05954.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2019Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107.

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2019Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12752.

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2020Can one hear the size of a target zone?. (2020). Rinaldo, Daniele ; Kumar, Shekhar Hari ; Hongler, Max-Olivier ; Arcand, Jean-Louis ; Jean - Louis Arcand, . In: Papers. RePEc:arx:papers:2002.00948.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction. (2020). Rugamer, David ; Stocker, Almond ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.05750.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054.

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2020Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2020Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models. (2020). Adam, Timo ; Oelschlager, Lennart. In: Papers. RePEc:arx:papers:2007.14874.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2019Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries. (2019). Mustafa, Khalid ; Ahmed, Zobia Israr. In: Asian Development Policy Review. RePEc:asi:adprev:2019:p:111-132.

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2019Global Commodity Markets and Rebalancing in China: The Case of Copper. (2019). Sawatzky, Benjamin ; Niquidet, Kurt ; Bailliu, Jeannine ; Mo, Kun ; Bilgin, Doga. In: Discussion Papers. RePEc:bca:bocadp:19-3.

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2019Forecasting the Colombian Unemployment Rate Using Labour Force Flows. (2019). Zarate-Solano, Hector M ; Lasso-Valderrama, Francisco. In: Borradores de Economia. RePEc:bdr:borrec:1073.

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2019Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region. (2019). Kim, Young Min ; Choi, Moon Jung. In: Asian Economic Journal. RePEc:bla:asiaec:v:33:y:2019:i:3:p:253-280.

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2019REGIME DEPENDENT EFFECT OF OUTPUT GROWTH ON OUTPUT GROWTH UNCERTAINTY: EVIDENCE FROM OECD COUNTRIES. (2019). Sarkar, Nityananda ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:257-282.

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2019EFFECT OF OIL PRICES ON STOCK MARKETS: EVIDENCE FROM NEW GENERATION OF STAR MODEL. (2019). Abdelsalam, Mamdouh ; Abdelmoula, Mamdouh ; Harb, Nermeen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:466-482.

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2019Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity. (2019). Savva, Christos S ; Lambertides, Neophytos ; Chelleysteeley, Patricia. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:116-159.

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2020Two‐Step Estimation for Time Varying Arch Models. (2020). Yang, Lijian ; Shao, Qin ; Liu, Rong ; Zhang, Yuanyuan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:551-570.

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2020Labor Market Effects of Tax Changes in Times of High and Low Unemployment: Working Paper 2020-05. (2020). Demirel, Devrim U. In: Working Papers. RePEc:cbo:wpaper:56522.

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2019Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2019/6.

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2019Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7532.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

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2020Uncertainty and Monetary Policy in Good and Bad Times: A Replication of the VAR Investigation by Bloom (2009). (2020). Nodari, Gabriela ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8497.

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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2019Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013.

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2019Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919.

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2019Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:29030.

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2019Nonlinear Effects of Military Spending on Economic Growth in Sub-Saharan Africa. (2019). Dunne, John ; Makanza, Christine S. In: School of Economics Macroeconomic Discussion Paper Series. RePEc:ctn:dpaper:2019-04.

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2019Determinants of investments in solar photovoltaic: Do oil prices really matter?. (2019). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Escoffier, Margaux. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-28.

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2019The governance threshold effect on the relationship between public education financing and income inequality. (2019). Trabelsi, Salwa. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00763.

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2019Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle.. (2019). Fernando, ; Moura, Guilherme Valle ; Caldeira, Joo Frois. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00262.

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2020Long-term Inflation Expectations and Central Bank Credibility. (2020). Gwak, Bopjun. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00364.

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2019The Impact of Oil Prices on Stocks Markets: New Evidence During and After the Arab Spring in Gulf Cooperation Council Economies. (2019). El-Chaarani, Hani. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-27.

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2019Real exchange rate misalignments in CEECs: have they hindered growth?. (2019). Regis, Paulo ; Cuestas, Juan ; Mourelle, Estefania . In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2018-05.

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2019Behavior of foreign investors in the Malaysian stock market in times of crisis: A nonlinear approach. (2019). Omay, Tolga ; Iren, Perihan. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:85-100.

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2019Stock and bond returns correlation in Korea: Local versus global risk during crisis periods. (2019). Ho, Young ; Fang, Zhongzheng ; Park, Keehwan. In: Journal of Asian Economics. RePEc:eee:asieco:v:65:y:2019:i:c:s1049007818303282.

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2019The relationship between emerging and developed market sentiment: A wavelet-based time-frequency analysis. (2019). Maitra, Debasish ; Dash, Saumya Ranjan. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:22:y:2019:i:c:p:135-150.

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2020High- and low-level chaos in the time and frequency market returns of leading cryptocurrencies and emerging assets. (2020). Alagidede, Imhotep Paul ; Omane-Adjepong, Maurice. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:132:y:2020:i:c:s096007791930520x.

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2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61.

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2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

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2020The fiscal state-dependent effects of capital income tax cuts. (2020). Yang, Shu-Chun S ; Shen, Wenyi ; Fotiou, Alexandra. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920300300.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

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2020Regime changes and fiscal sustainability in Kenya. (2020). Chevallier, Julien ; Ndiritu, Simon Wagura ; Irungu, William Nganga. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:1-9.

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2020Artificial neural network regression models in a panel setting: Predicting economic growth. (2020). Jahn, Malte. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:148-154.

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2020Threshold effect of economic openness on bank risk-taking: Evidence from emerging markets. (2020). Mai, Hoai Thi ; Bui, Tung Duy. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:790-803.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019Nonlinear exchange rate pass-through in timber products: The case of oriented strand board in Canada and the United States. (2019). Goodwin, Barry ; Prestemon, Jeffrey P ; Holt, Matthew T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818303802.

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2019Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849.

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2019Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. (2019). Su, Xianfang ; Jiang, Yong ; Kuang, Yuanpei ; Lin, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300968.

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2020Bank fee-based shocks and the U.S. business cycle. (2020). Theoret, Raymond ; Calmes, Christian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940817303595.

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2020Valuation effects of capital inflows: Evidence from emerging market economies. (2020). Park, Hail ; Le, Dieu Thanh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300798.

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2020The heterogeneous behaviour of the inflation hedging property of cocoa. (2020). Salisu, Afees ; Oloko, Tirimisiyu ; Adediran, Idris ; Ohemeng, William. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303535.

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2020Evaluating the sustainability of Italian public finances. (2020). Postigliola, Michele ; Piergallini, Alessandro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300772.

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2019Smooth transitions across latitudes and longitudes: An application of a nonlinear panel regression to the climate—economics nexus. (2019). Villoria, Nelson ; Ubilava, David ; Tack, Jesse. In: Economics Letters. RePEc:eee:ecolet:v:182:y:2019:i:c:p:114-117.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2020Panel threshold regressions with latent group structures. (2020). Su, Liangjun ; Wang, Wendun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:451-481.

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2020A coupled component DCS-EGARCH model for intraday and overnight volatility. (2020). Wu, Jianbin ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:176-201.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020Nonlinearities and regimes in conditional correlations with different dynamics. (2020). Bauwens, Luc ; Otranto, Edoardo. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:496-522.

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2019To tell the truth or the perceived truth: Structural estimation of peer effects in China’s macroeconomic forecast. (2019). Li, Feiyue ; Geng, Hao ; Lv, Yuxia ; Hou, Linke. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:2:9.

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2020Impact of Islamic banking development and major macroeconomic variables on economic growth for Islamic countries: Evidence from panel smooth transition models. (2020). Tiwari, Aviral ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Hammoudeh, Shawkat. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:1:s0939362518301742.

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2019Structural combination of seasonal exponential smoothing forecasts applied to load forecasting. (2019). de Menezes, Lilian M ; Rendon-Sanchez, Juan F. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:3:p:916-924.

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2019A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2019Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model. (2019). Wang, Shixuan ; Gözgör, Giray ; Apergis, Nicholas ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:129-142.

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2019Oil price collapse and challenges to economic transformation of Saudi Arabia: A time-series analysis. (2019). JAWADI, Fredj ; Ftiti, Zied. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:12-19.

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2019Asymmetric reactions of the US natural gas market and economic activity. (2019). Okimoto, Tatsuyoshi ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:86-99.

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2019Can expanding natural gas consumption reduce Chinas CO2 emissions?. (2019). Lin, Boqiang ; Xu, Bin. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:393-407.

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2019Leverage effect in energy futures revisited. (2019). Carnero, M. Angeles ; Perez, Ana. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:237-252.

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2019Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies. (2019). Tiwari, Aviral ; Demirer, Riza ; Albulescu, Claudiu ; Raheem, Ibrahim D. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:375-388.

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2019Calculating the damage of a cartel subject to transition periods: The international uranium cartel in the 1970s. (2019). Söderberg, Magnus ; Soderberg, Magnus ; Sandberg, Rickard ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302683.

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2020Coordinating technological progress and environmental regulation in CO2 mitigation: The optimal levels for OECD countries & emerging economies. (2020). Wei, Weixian ; Wang, Huiqing. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319302993.

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2019How does financial development affect energy consumption? Evidence from 21 transitional countries. (2019). Chen, Hongtao ; Shen, Yongchang ; Lu, Rou ; Yue, Shujing . In: Energy Policy. RePEc:eee:enepol:v:130:y:2019:i:c:p:253-262.

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2019How does the capacity utilization of thermal power generation affect pollutant emissions? Evidence from the panel data of Chinas provinces. (2019). Komonpipat, Supak ; Yan, Weilong ; Wang, Yongpei. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:440-451.

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2020The income inequality and carbon emissions trade-off revisited. (2020). Rojas-Vallejos, Jorge ; Lastuka, Amy. In: Energy Policy. RePEc:eee:enepol:v:139:y:2020:i:c:s0301421520300616.

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2019Time of day effects of temperature and daylight on short term electricity load. (2019). Perez Garcia, Julian ; Perez-Garcia, Julian ; Moral-Carcedo, Julian. In: Energy. RePEc:eee:energy:v:174:y:2019:i:c:p:169-183.

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2019Revisiting and revising the energy-growth nexus: A non-linear modeling analysis. (2019). Tiba, Sofien. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:667-675.

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2019Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x.

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2020The volatility linkage between energy and agricultural futures markets with external shocks. (2020). Zeng, Hongchao ; Wu, Lei ; Jin, Jiayu ; Han, Liyan. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305209.

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2020The curvilinear relationship between environmental performance and financial performance: An investigation of listed french firms using panel smooth transition model. (2020). ben Zaied, Younes ; Bruna, Maria-Giuseppina ; ben Lahouel, Bechir. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319306658.

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2019Global liquidity, money growth and UK inflation. (2019). Milas, Costas ; Ellington, Michael. In: Journal of Financial Stability. RePEc:eee:finsta:v:42:y:2019:i:c:p:67-74.

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2020Economic growth and the forest development path: A theoretical re-assessment of the environmental Kuznets curve for deforestation. (2020). Caravaggio, Nicola. In: Forest Policy and Economics. RePEc:eee:forpol:v:118:y:2020:i:c:s1389934120301933.

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2019The effectiveness of foreign exchange intervention in Latin America: A nonlinear approach to the coordination channel. (2019). Gamboa-Estrada, Fredy. In: Global Finance Journal. RePEc:eee:glofin:v:40:y:2019:i:c:p:13-27.

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2019Forecasting the exchange rate using nonlinear Taylor rule based models. (2019). Stamatogiannis, Michalis P ; Morley, Bruce ; Wang, Rudan. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:429-442.

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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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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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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: 68		article
2008Multivariate GARCH models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper66
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: 66		paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper20
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: 20		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: 20		paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers.
[Full Text][Citation analysis]		paper23
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: 23		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: 23		paper
2008Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers.
[Full Text][Citation analysis]		paper28
2013Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form.(2013) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 28		paper
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: 28		paper
2009Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
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: 11		paper
2010Forecasting with nonlinear time series models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2011Modelling Volatility by Variance Decomposition In: CREATES Research Papers.
[Full Text][Citation analysis]		paper43
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 43		article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 43		paper
2011Nonlinear models for autoregressive conditional heteroskedasticity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations.(2011) In: NIPE Working Papers.
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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: 16		article
2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
2016Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques.(2016) In: Econometric Reviews.
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2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
2014Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009.(2014) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 9		article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper27
2014Modelling changes in the unconditional variance of long stock return series.(2014) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series.(2012) In: NIPE Working Papers.
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2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper20
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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2012Unit roots, nonlinearities and structural breaks In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2013Unit roots, non-linearities and structural breaks.(2013) In: Chapters.
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This paper has another version. Agregated cites: 4		chapter
2012Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2013Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper33
2014A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2017A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model.(2017) In: Econometric Reviews.
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2014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper37
2014Linearity and misspecification tests for vector smooth transition regression models.(2014) In: CORE Discussion Papers.
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2014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers.
[Full Text][Citation analysis]		paper23
2014Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: CORE Discussion Papers.
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2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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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: 7		article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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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: 1		paper
2017Sir Clive Grangers contributions to nonlinear time series and econometrics In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 0		paper
2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
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This paper has another version. Agregated cites: 0		article
2017Nonlinear models in macroeconometrics In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper287
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 287		paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 287		paper
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
[Full Text][Citation analysis]
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2018The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2019The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016.(2019) In: Econometrics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2019Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2019Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model.(2019) In: Working papers.
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This paper has another version. Agregated cites: 0		paper
2019Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2019Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2006Modelling autoregressive processes with a shifting mean In: Borradores de Economia.
[Full Text][Citation analysis]		paper9
2008Modelling Autoregressive Processes with a Shifting Mean.(2008) In: Studies in Nonlinear Dynamics & Econometrics.
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2006Modelling autoregressive processes with a shifting mean.(2006) In: BORRADORES DE ECONOMIA.
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2007Modelling autoregressive processes with a shifting mean.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article97
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article52
2004Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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1993POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis.
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1999Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints In: Journal of Time Series Analysis.
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1997Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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1985MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS In: Journal of Time Series Analysis.
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1996Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics.
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1995Testing Parameter Constancy and super Exogeneity in Econometric Equations.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Simulation‐based Finite Sample Linearity Test against Smooth Transition Models* In: Oxford Bulletin of Economics and Statistics.
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2005Simulation-based finite-sample linearity test against smooth transition models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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1998Comments 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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1996Power Properties of Linearity Tests for Time Series In: Studies in Nonlinear Dynamics & Econometrics.
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1996Power Properties of Linearity Tests for Time Series.(1996) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
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2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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1981Some results on improving the least squares estimation of linear models by mixed estimation In: CORE Discussion Papers RP.
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1980The polynomial distributed lag revisited In: CORE Discussion Papers RP.
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1980The Polynomial Distributed Lag Revisited..(1980) In: Empirical Economics.
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1999FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS In: Econometric Theory.
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1997Fourth Moment Structure of the GARCH (p, q) Process.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS In: Econometric Theory.
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1999Fourth Moment Structure of a Family of First-Order Exponential GARCH Models.(1999) In: Research Paper Series.
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2004AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE In: Econometric Theory.
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2002An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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2001INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS In: Macroeconomic Dynamics.
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2002MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES In: Macroeconomic Dynamics.
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1998Modelling asymmetries and moving equilibria in unemployment rates.(1998) In: SSE/EFI Working Paper Series in Economics and Finance.
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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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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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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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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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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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2006A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal.
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1986Aspects of modelling nonlinear time series In: Handbook of Econometrics.
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2005Forecasting economic variables with nonlinear models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999A simple nonlinear time series model with misleading linear properties In: Economics Letters.
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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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2002Long memory and nonlinear time series In: Journal of Econometrics.
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1999Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers.
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2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
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2003Common factors in conditional distributions for Bivariate time series.(2003) In: FMG Discussion Papers.
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2007Testing constancy of the error covariance matrix in vector models In: Journal of Econometrics.
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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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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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1987Usefulness of proxy variables in linear models with stochastic regressors In: Journal of Econometrics.
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1994Testing the constancy of regression parameters against continuous structural change In: Journal of Econometrics.
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1996Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics.
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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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0000Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models.(0000) 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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1997The International Institute of Forecasters Award for the Best Forecasting Paper In: International Journal of Forecasting.
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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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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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2001Smooth Transition Autoregressive Models - A Survey of Recent Developments.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002An application of the analogy between vector ARCH and vector random coefficient autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions In: SSE/EFI Working Paper Series in Economics and Finance.
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