Timo Teräsvirta : Citation Profile

Are you Timo Teräsvirta?

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

34

H index

64

i10 index

4894

Citations

RESEARCH PRODUCTION:

74

Articles

138

Papers

2

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   45 years (1976 - 2021). See details.
   Cites by year: 108
   Journals where Timo Teräsvirta has often published
   Relations with other researchers
   Recent citing documents: 263.    Total self citations: 94 (1.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pte1
   Updated: 2022-05-21    RAS profile: 2022-03-17    
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Relations with other researchers

Works with:

Silvennoinen, Annastiina (9)

Amado, Cristina (6)

Hurn, Stan (2)

Cho, Jin Seo (2)

Gonzalez, Andres (2)

Yang, Yukai (2)

van Dijk, Dick (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 (83)

Medeiros, Marcelo (71)

Balcilar, Mehmet (63)

GUPTA, RANGAN (63)

Ubilava, David (60)

JAWADI, Fredj (55)

Reitz, Stefan (53)

Holt, Matthew (52)

Zanetti Chini, Emilio (52)

Franses, Philip Hans (50)

Cites to:

Engle, Robert (74)

Bollerslev, Tim (46)

Amado, Cristina (43)

Silvennoinen, Annastiina (30)

Granger, Clive (29)

Hansen, Bruce (25)

Jagannathan, Ravi (23)

White, Halbert (21)

Perron, Pierre (21)

Saikkonen, Pentti (14)

Tse, Y. K. (14)

Main data

Where Timo Teräsvirta has published?

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

Working Papers Series with more than one paper published# docs
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics57
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
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
NCER Working Paper Series / National Centre for Econometric Research2

Recent works citing Timo Teräsvirta (2022 and 2021)

YearTitle of citing document
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2020.

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2020Finance, inequality and inclusive education in Sub-Saharan Africa. (2020). Asongu, Simplice ; Acha-Anyi, Paul N ; Nnanna, Joseph. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/050.

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2020Aid Grants vs. Technical Cooperation Grants: Implications for Inclusive Growth in Sub-Saharan Africa, 1984-2018. (2020). Asongu, Simplice ; Ezeaku, Hillary C. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/091.

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2021The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa. (2021). Asongu, Simplice ; Nting, Rexon T. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/035.

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2021Foreign Direct Investment and poverty in Sub-Saharan African countries: the role of host absorptive capacity. (2021). Eita, Joel ; Biyase, Mduduzi ; Arogundade, Sodiq. In: Economic Development and Well-being Research Group Working Paper Series. RePEc:ady:wpaper:edwrg-04-2021.

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2021Dating business cycles in France: A reference chronology. (2021). DIEBOLT, Claude ; Pionnier, Pierre-Alain ; Mignon, Valrie ; Heyer, Eric ; Ferrara, Laurent ; Doz, Catherine ; BEC, Frdrique ; Aviat, Antonin. In: Working Papers. RePEc:afc:wpaper:08-21.

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2021TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21.

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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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2020Aid Grants vs. Technical Cooperation Grants: Implications for Inclusive Growth in Sub-Saharan Africa, 1984-2018. (2020). Asongu, Simplice ; Ezeaku, Hillary C. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/091.

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2021The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa. (2021). Nting, Rexon ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/035.

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2021Budget policy, economic cycle and debt in the West African Economic and Monetary Union (WAEMU) countries: Empirical evidence based on a regime change model. (2021). Houngbedji, Sewanoude Honore. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:151-168.

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2021.

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2020The dynamic impact of international agricultural commodity price fluctuation on Chinese agricultural commodity prices. (2020). Liu, Yongfu ; Zhang, Xiaoyu. In: International Food and Agribusiness Management Review. RePEc:ags:ifaamr:307214.

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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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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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2021A 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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2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2022Predicting Disaggregated CPI Inflation Components via Hierarchical Recurrent Neural Networks. (2020). Caspi, Itamar ; Barkan, Oren ; Koenigstein, Noam ; Hammer, Allon. In: Papers. RePEc:arx:papers:2011.07920.

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2021Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2021Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism. (2021). Li, BO ; Long, Wen ; Dai, Wei ; Shi, Yong. In: Papers. RePEc:arx:papers:2101.02736.

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2021Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan. In: Papers. RePEc:arx:papers:2101.04113.

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2021Market Regime Detection via Realized Covariances: A Comparison between Unsupervised Learning and Nonlinear Models. (2021). Bucci, Andrea ; Ciciretti, Vito. In: Papers. RePEc:arx:papers:2104.03667.

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2021BBE: Simulating the Microstructural Dynamics of an In-Play Betting Exchange via Agent-Based Modelling. (2021). Cliff, Dave. In: Papers. RePEc:arx:papers:2105.08310.

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2021A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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2021.

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2020Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17). (2020). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; DA SILVA, TARCISO GOUVEIA . In: Working Papers Series. RePEc:bcb:wpaper:536.

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2021FORECASTING RUSSIAN CPI WITH DATA VINTAGES AND MACHINE LEARNING TECHNIQUES. (2021). Mamedli, Mariam ; Shibitov, Denis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps70.

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2021Impacts of COVID?19 and Price Transmission in U.S. Meat Markets. (2021). Ramsey, Austin ; Hahn, William ; Holt, Matthew T ; Goodwin, Barry K. In: Agricultural Economics. RePEc:bla:agecon:v:52:y:2021:i:3:p:441-458.

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2022The prices of renewable commodities: a robust stationarity analysis. (2022). Presno, Maria Jose ; Landajo, Manuel. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:447-470.

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2021Dynamics of crude oil price shocks and major Latin American Equity Markets: A study in time and frequency domains. (2021). Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun ; Adrangi, Bahram. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:432-455.

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2021Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2021Uncertainty and monetary policy in the US: A journey into nonlinear territory. (2021). Pellegrino, Giovanni. In: Economic Inquiry. RePEc:bla:ecinqu:v:59:y:2021:i:3:p:1106-1128.

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2022Exploring the dependencies among main cryptocurrency log?returns: A hidden Markov model. (2022). Bartolucci, Francesco ; Forte, Gianfranco ; Pennoni, Fulvia ; Ametrano, Ferdinando. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:1:n:e12193.

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2021Economic policy uncertainty and stock market liquidity: Evidence from G7 countries. (2021). Debata, Byomakesh ; Maitra, Debasish ; Dash, Saumya Ranjan ; Mahakud, Jitendra. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:611-626.

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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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2020Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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2020Tests for conditional heteroscedasticity of functional data. (2020). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:6:p:733-758.

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2020Regime shifts in the effects of Japan’s unconventional monetary policies. (2020). Okimoto, Tatsuyoshi ; Miyao, Ryuzo. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:6:p:749-772.

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2021The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570.

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2022Inference in Misspecified GARCH?M Models. (2022). Smallwood, Aaron D. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:334-355.

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2022Real Exchange Rates and Fundamentals in a new Markov?STAR Model. (2022). Sibbertsen, Philipp ; Ma, Jun ; Flock, Teresa ; Bertram, Philip . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:356-379.

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2021Testing the asymmetric effects of exchange rate pass?through in BRICS countries: Does the state of the economy matter?. (2021). Wohar, Mark ; USMAN, OJONUGWA ; Roubaud, David ; Balcilar, Mehmet. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:1:p:188-233.

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2021Forecasting CPI Inflation Components with Hierarchical Recurrent Neural Network. (2021). Benchimol, Jonathan ; Caspi, Itamar ; Barkan, Oren ; Koenigstein, Noam ; Hammer, Allon. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2021.06.

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2021The Behavior of Divorce Rates: A Smooth Transition Regression Approach. (2021). Korhonen, Marko ; Marko, Korhonen ; Mikko, Puhakka. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:1-19:n:2.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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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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2021Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9027.

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2021Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression. (2021). Zhang, Yunyi ; Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9395.

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2022Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9544.

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2020Infrastructures and the real exchange rate. (2020). Morvillier, Florian. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-26.

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2021Dating business cycles in France: A reference chronology. (2021). Mignon, Valérie ; Ferrara, Laurent ; DIEBOLT, Claude ; Bec, Frédérique ; Pionnier, Pierre-Alain ; Heyer, Eric ; Ferrand, Denis ; Doz, Catherine ; Aviat, Antonin. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-23.

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2021On the empirical relations between producers expectations and economic growth. (2021). Rosich, Lucia I ; Lanzilotta, Bibiana ; Brida, Juan G. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00393.

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2021Urbanization, Governance and Informal Economy: an African Tale. (2021). Ndoya, Hermann ; Dongmo, Aristophane Djeufack. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00876.

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2021Oil Price Volatility Models during Coronavirus Crisis: Testing with Appropriate Models Using Further Univariate GARCH and Monte Carlo Simulation Models. (2021). Hadhek, Zouhaier ; Bouazizi, Tarek ; Lassoued, Mongi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-35.

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2021Changes in Demand for Crude Oil and its Correlation with Crude Oil and Stock Market Returns Volatilities: Evidence from Three Asian Oil Importing Countries. (2021). Hadhek, Zouhaier ; Lafi, Mosbah ; Mrad, Fatma ; Bouazizi, Tarek. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-5.

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2021Real-time electricity price forecasting of wind farms with deep neural network transfer learning and hybrid datasets. (2021). Schell, Kristen R ; Yang, Haolin. In: Applied Energy. RePEc:eee:appene:v:299:y:2021:i:c:s0306261921006632.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2021Hidden semi-Markov-switching quantile regression for time series. (2021). Petrella, Lea ; Maruotti, Antonello ; Sposito, Luca. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000426.

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2022Kernel-based hidden Markov conditional densities. (2022). Gooijer, Jan G. ; Yuan, AO ; Henter, Gustav Eje ; de Gooijer, Jan G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947322000111.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2020Finance, inequality and inclusive education in Sub-Saharan Africa. (2020). Asongu, Simplice ; Acha-Anyi, Paul N ; Nnanna, Joseph. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:162-177.

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2021Impact of COVID-19 on GDP of major economies: Application of the artificial neural network forecaster. (2021). Majhi, Babita ; Managi, Shunsuke ; Kalli, Rajesh ; Jena, Pradyot Ranjan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:324-339.

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2021Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Nekhili, Ramzi ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:73-96.

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2021Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001413.

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2021Investigating the asymmetric impact of oil prices on GCC stock markets. (2021). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Kanaan, Oussama ; ben Naceur, Sami ; Bennaceur, Sami . In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001784.

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2021Asymmetric effects of monetary policy and output shocks on the real estate market in China. (2021). Pan, Fanghui ; Zhang, Xiaoyu. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321001899.

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2021Non-linear analysis of effects of energy consumption on economic growth in China: Role of real exchange rate. (2021). Chen, Tianyu ; Zhang, Hongda ; Yu, Huan ; Wang, Yajie. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002121.

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2022Clean energy deserves to be an asset class: A volatility-reward analysis. (2022). Fahmy, Hany. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002856.

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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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2021Does the composition of government spending matter for government bond spreads?. (2021). Sawadogo, Pegdewende ; Minea, Alexandru ; Combes, Jean-Louis. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:409-420.

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2021The link between intellectual property rights, innovation, and growth: A meta-analysis. (2021). Sochirca, Elena ; Silva, Diana ; Afonso, Oscar ; Neves, Pedro Cunha. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:196-209.

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2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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2021Is the assumption of constant factor loadings too strong in practice?. (2021). Hartigan, Luke ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:100-108.

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2021Facing up to the polysemy of purchasing power parity: New international evidence. (2021). Chen, Shyh-Wei ; Xie, Zixiong ; Hsieh, Chun-Kuei . In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:247-265.

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2021Public debt and economic growth in developing countries: Nonlinearity and threshold analysis. (2021). Law, Siong Hook ; Kutan, Ali M ; Ng, Chee Hung. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:26-40.

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2021Growth, institutions and oil dependence: A buffered threshold panel approach. (2021). Souam, Saïd ; Belarbi, Yacine ; Khalfi, Abderaouf ; Hamdi, Fayal. In: Economic Modelling. RePEc:eee:ecmode:v:99:y:2021:i:c:s0264999321000584.

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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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2021The role of housing market in the effectiveness of monetary policy over the Covid-19 era. (2021). Apergis, Nicholas. In: Economics Letters. RePEc:eee:ecolet:v:200:y:2021:i:c:s0165176521000264.

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2021Stock market volatility and public information flow: A non-linear perspective. (2021). Borup, Daniel ; Bertelsen, Kristoffer Pons ; Jakobsen, Johan Stax. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001828.

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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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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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2021Testing for observation-dependent regime switching in mixture autoregressive models. (2021). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:601-624.

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2021Time-varying model averaging. (2021). Hong, Yongmiao ; Sun, Yuying ; Zhang, Xinyu ; Wang, Shouyang ; Lee, Tae-Hwy. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:974-992.

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2021Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329.

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2022Testing the existence of moments for GARCH processes. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:47-64.

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2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28.

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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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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: 75		article
2008Multivariate GARCH models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper95
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: 95		paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper21
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
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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: 21		paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers.
[Full Text][Citation analysis]		paper30
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: 30		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: 30		paper
2008Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers.
[Full Text][Citation analysis]		paper34
2013Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form.(2013) In: Post-Print.
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This paper has another version. Agregated cites: 34		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: 34		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]		paper55
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 55		article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 55		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]		paper13
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]		paper12
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: 12		article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper32
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: 32		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]		paper22
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]		paper5
2013Unit roots, non-linearities and structural breaks.(2013) In: Chapters.
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This paper has another version. Agregated cites: 5		chapter
2012Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2013Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper54
2014A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2017A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model.(2017) In: Econometric Reviews.
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This paper has another version. Agregated cites: 4		article
2014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper41
2014Linearity and misspecification tests for vector smooth transition regression models.(2014) In: LIDAM Discussion Papers CORE.
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2014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers.
[Full Text][Citation analysis]		paper30
2014Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: LIDAM Discussion Papers CORE.
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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]		paper9
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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2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
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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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]
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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]		paper2
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		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]		paper338
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 338		paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
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]		paper1
2019Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model.(2019) In: Working papers.
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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
2021Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model.(2021) In: Energy Economics.
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This paper has another version. Agregated cites: 0		article
2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH 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]		article103
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.
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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: LIDAM Reprints CORE.
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1980The polynomial distributed lag revisited In: LIDAM Reprints CORE.
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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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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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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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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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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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2002Evaluating GARCH models 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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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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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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