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Timo Teräsvirta : Citation Profile


Are you Timo Teräsvirta?

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

28

H index

48

i10 index

3466

Citations

RESEARCH PRODUCTION:

63

Articles

128

Papers

2

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   41 years (1976 - 2017). See details.
   Cites by year: 84
   Journals where Timo Teräsvirta has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 75 (2.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pte1
   Updated: 2018-02-17    RAS profile: 2017-11-10    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Silvennoinen, Annastiina (8)

Amado, Cristina (7)

Yang, Yukai (5)

Kock, Anders (3)

Hurn, Stan (3)

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 (81)

Mignon, Valérie (68)

Medeiros, Marcelo (64)

GUPTA, RANGAN (57)

Ubilava, David (56)

Franses, Philip Hans (50)

Reitz, Stefan (48)

Holt, Matthew (46)

van Dijk, Dick (45)

Balcilar, Mehmet (45)

JAWADI, Fredj (44)

Cites to:

Engle, Robert (59)

Bollerslev, Tim (34)

Granger, Clive (27)

Hansen, Bruce (24)

White, Halbert (20)

Perron, Pierre (19)

Jagannathan, Ravi (15)

Amado, Cristina (14)

Saikkonen, Pentti (13)

Silvennoinen, Annastiina (13)

Tse, Y. K. (12)

Main data


Where Timo Teräsvirta has published?


Journals with more than one article published# docs
Journal of Econometrics13
International Journal of Forecasting8
Journal of Applied Econometrics6
Econometric Reviews5
Journal of Financial Econometrics3
Econometrics Journal3
Studies in Nonlinear Dynamics & Econometrics3
Oxford Bulletin of Economics and Statistics2
Empirical Economics2
Scandinavian Journal of Economics2
Journal of Business & Economic Statistics2

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

Recent works citing Timo Teräsvirta (2018 and 2017)


YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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

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

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

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2017The Effect of Exchange Rate Volatility on Stock Return in Taiwan Around Abenomics. (2017). Chien-Chung, Nieh ; Hsun-Fang, Cho . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:368-380.

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2018Government Size and Economic Growth in Asia - Evidence from China and Japan. (2018). Nguyet, Thi Bich ; Phung, Duc Nam . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:71-89.

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

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

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2017Macro-financial linkages: the role of liquidity dependence. (2017). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps24.

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2017Local Gaussian Autocorrelation and Tests for Serial Independence. (2017). Lacal, Virginia ; Tjostheim, Dag. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:51-71.

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2017WHEN ARE WAVELETS USEFUL FORECASTERS?. (2017). Yazgan, Ege ; Gencay, Ramazan . In: Working Papers. RePEc:bli:wpaper:1704.

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2017Solvency and wholesale funding cost interactions at UK banks. (2017). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran . In: Bank of England working papers. RePEc:boe:boeewp:0681.

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

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

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

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

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

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2017Uncertainty and Monetary Policy in Good and Bad Times. (2017). Castelnuovo, Efrem ; Caggiano, Giovanni ; Nodari, Gabriela . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6630.

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2017On the Current Account - Biofuels Link in Emerging and Developing Countries: Do Oil Price Fluctuations Matter?. (2017). Paris, Anthony ; Mignon, Valérie ; Gomes, Gabriel ; Hache, Emmanuel . In: Working Papers. RePEc:cii:cepidt:2017-07.

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

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

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

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

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

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

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2017On the current account - biofuels link in emerging and developing countries: do oil price fluctuations matter?. (2017). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Gomes, Gabriel. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-30.

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

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

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

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2017Threshold effect in the relationship between environmental taxes and CO2 emissions: A PSTR specification. (2017). Zaghdoudi, Taha ; Maktouf, Samir. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00684.

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

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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

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2017Structural vector autoregressions with smooth transition in variances. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:43-57.

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

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

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

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

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

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

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

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

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

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2017Bootstrapping the GMM overidentification test under first-order underidentification. (2017). Gonalves, Silvia ; Dovonon, Prosper . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:43-71.

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

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

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

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2017Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds. (2017). Sermpinis, Georgios ; Hassanniakalager, Arman ; Stasinakis, Charalampos . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:540-558.

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

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

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2017The CO2–growth nexus revisited: A nonparametric analysis for the G7 economies over nearly two centuries. (2017). Shahbaz, Muhammad ; Papavassiliou, Vassilios ; Hammoudeh, Shawkat ; Shafiullah, Muhammad . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:183-193.

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2017The impact of the German response to the Fukushima earthquake. (2017). Waterson, Michael ; Grossi, Luigi ; Heim, Sven. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:450-465.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2017Main driving factors of the interest rate-stock market Granger causality. (2017). Jareño, Francisco ; Hammoudeh, Shawkat M ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:260-280.

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

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2017Stock return prediction under GARCH — An empirical assessment. (2017). Herwartz, Helmut. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:569-580.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Hotta, Luiz ; Ruiz, Esther ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe. (2017). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:24-37.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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2017Debt thresholds and real exchange rates: An emerging markets perspective. (2017). Velic, Adnan ; Galstyan, Vahagn. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:452-470.

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2017“Conditional PPP” and real exchange rate convergence in the euro area. (2017). Glick, Reuven ; Bergin, Paul ; Wu, Jyh-Lin . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:78-92.

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2017Dynamics of integration in East Asian equity markets. (2017). Komatsubara, Tadaaki ; Tatsumi, Ken-Ichi ; Okimoto, Tatsuyoshi . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:45:y:2017:i:c:p:37-50.

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2017Decoding Chinese stock market returns: Three-state hidden semi-Markov model. (2017). Liu, Zhenya ; Wang, Shixuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:127-149.

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2017The relevance of international spillovers and asymmetric effects in the Taylor rule. (2017). Dreger, Christian ; Beckmann, Joscha ; Belke, Ansgar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:162-170.

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2017Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism. (2017). Bouri, Elie ; Lv, Xin ; Xin Lv, ; Lien, Donald ; Chen, Qian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:34-48.

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2017Long memory or structural breaks: Some evidence for African stock markets. (2017). Ngene, Geoffrey ; Darrat, Ali F ; Tah, Kenneth A. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:61-73.

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2017Assessing financial and housing wealth effects through the lens of a nonlinear framework. (2017). Sousa, Ricardo ; JAWADI, Fredj ; Soparnot, Richard . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:840-850.

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2017True or spurious long memory in European non-EMU currencies. (2017). Walther, Thomas ; Piontek, Krzysztof ; Thu, Hien Pham ; Klein, Tony . In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:217-230.

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2017The ENSO Effect and Asymmetries in Wheat Price Dynamics. (2017). Ubilava, David. In: World Development. RePEc:eee:wdevel:v:96:y:2017:i:c:p:490-502.

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2017This time it is different! Or not?. (2017). Franses, Philip Hans ; Janssens, E. In: Econometric Institute Research Papers. RePEc:ems:eureir:101764.

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2017.

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2017Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity. (2017). Nguyen, Bao H ; Tatsuyoshi, Okimoto . In: Discussion papers. RePEc:eti:dpaper:17102.

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2017TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES. (2017). Gurgul, Henryk ; Machno, Artur . In: Statistics in Transition. New Series. RePEc:exl:29stat:v:18:y:2017:i:1:p:91-114.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2017Sustainable Financial Obligations and Crisis Cycles. (2017). Juselius, Mikael ; Kim, Moshe . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:27-:d:102204.

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2017Evaluating Forecasts, Narratives and Policy Using a Test of Invariance. (2017). Hendry, David ; Castle, Jennifer ; Martinez, Andrew B. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:39-:d:110547.

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2017Regime-Switching Effect of Tourism Specialization on Economic Growth in Asia Pacific Countries. (2017). Chiang, Geng-Nan ; Lei, Wen-Guu ; Sung, Wei-Ying . In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:3:p:23-:d:102801.

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2017Modeling of Electricity Demand for Azerbaijan: Time-Varying Coefficient Cointegration Approach. (2017). Mikayilov, Jeyhun I ; Mahmudlu, Ceyhun ; Bollino, Carlo A ; Hasanov, Fakhri J. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:11:p:1918-:d:119727.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe ; Lalaharison, Hanjarivo . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017Changes in Persistence in Outlier Contaminated Time Series. (2017). Hirsch, Tristan ; Rinke, Saskia . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-583.

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2017Origins of Spurious Long Memory. (2017). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-595.

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2017Expected Inflation Regimes in Japan. (2017). Okimoto, Tatsuyoshi. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-41.

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2017Uncertainty and Monetary Policy in Good and Bad Times. (2017). Castelnuovo, Efrem ; Caggiano, Giovanni ; Nodari, Gabriela . In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2017n09.

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2017Economic Policy Uncertainty Spillovers in Booms and Busts. (2017). Figueres, Juan ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2017n13.

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

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2017Do Fiscal Rules Lower Government Financing Costs?. (2017). Jalles, Joao ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0152017.

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2017Long Memory in Turkish Unemployment Rates. (2017). tansel, aysıt ; Gil-Alana, Luis ; Ozdemir, Zeynel Abidin. In: IZA Discussion Papers. RePEc:iza:izadps:dp11053.

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2017The Comparison of Power and Optimization Algorithms on Unit Root Testing with Smooth Transition. (2017). Omay, Tolga ; Emirmahmutoglu, Furkan ; Emirmahmutolu, Furkan . In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:4:d:10.1007_s10614-016-9574-3.

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2017Entropy Econometrics for combining regional economic forecasts: A Data-Weighted Prior Estimator. (2017). Fernandez-Vazquez, Esteban ; Moreno, Blanca . In: Journal of Geographical Systems. RePEc:kap:jgeosy:v:19:y:2017:i:4:d:10.1007_s10109-017-0259-9.

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2017Fiscal Episodes and Market Power. (2017). Jalles, Joao ; Afonso, Antonio. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:2:d:10.1007_s11079-016-9419-7.

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2017Equity prices and fundamentals: a DDM–APT mixed approach. (2017). JAWADI, Fredj ; Prat, Georges. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:3:d:10.1007_s11156-016-0604-y.

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2017Long Memory in Turkish Unemployment Rates. (2017). tansel, aysıt ; Gil-Alana, Luis ; Ozdemir, Zeynel Abidin. In: ERC Working Papers. RePEc:met:wpaper:1709.

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2017Bagged artificial neural networks in forecasting inflation: An extensive comparison with current modelling frameworks. (2017). Szafranek, Karol. In: NBP Working Papers. RePEc:nbp:nbpmis:262.

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2017Agro-Ecosystem Productivity and the Dynamic Response to Shocks. (2017). Chavas, Jean-Paul . In: NBER Chapters. RePEc:nbr:nberch:13836.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2017Did Okun’s law die after the Great Recession?. (2017). Miller, Stephen ; Canarella, Giorgio . In: Business Economics. RePEc:pal:buseco:v:52:y:2017:i:4:d:10.1057_s11369-017-0045-1.

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2017Generalizing Smooth Transition Autoregressions. (2017). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0138.

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2017Firms Dynamics and Business Cycle: New Disaggregated Data. (2017). Zanetti Chini, Emilio ; rossi, lorenza. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0141.

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2017A general class of SemiGARCH models based on the Box-Cox transformation. (2017). Zhang, Xuehai ; Peitz, Christian ; Feng, Yuanhua . In: Working Papers CIE. RePEc:pdn:ciepap:104.

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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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paper58
2007Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 58
paper
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 58
article
2008Multivariate GARCH models In: CREATES Research Papers.
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paper57
2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 57
paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
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paper16
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 16
article
2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 16
paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers.
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paper22
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 22
paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 22
paper
2008Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers.
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paper15
2012Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form.(2012) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 15
paper
2009Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers.
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paper9
2011Forecasting inflation with gradual regime shifts and exogenous information.(2011) In: Working Paper Series.
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This paper has another version. Agregated cites: 9
paper
2010Forecasting with nonlinear time series models In: CREATES Research Papers.
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paper12
2011Modelling Volatility by Variance Decomposition In: CREATES Research Papers.
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paper28
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 28
article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 28
paper
2011Nonlinear models for autoregressive conditional heteroskedasticity In: CREATES Research Papers.
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paper1
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations In: CREATES Research Papers.
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paper8
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 8
paper
2014Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 8
article
2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers.
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paper4
2016Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques.(2016) In: Econometric Reviews.
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This paper has another version. Agregated cites: 4
article
2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers.
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paper7
2014Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009.(2014) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 7
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
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paper22
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: 22
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series.(2012) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 22
paper
2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
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paper14
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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This paper has another version. Agregated cites: 14
article
2012Unit roots, nonlinearities and structural breaks In: CREATES Research Papers.
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paper4
2013Unit roots, non-linearities and structural breaks.(2013) In: Chapters.
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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.
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paper2
2013Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers.
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paper12
2014A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model In: CREATES Research Papers.
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paper1
2014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers.
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paper26
2014Linearity and misspecification tests for vector smooth transition regression models.(2014) In: CORE Discussion Papers.
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paper
2014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers.
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paper18
2014Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: CORE Discussion Papers.
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paper
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
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paper3
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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paper
2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 3
article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
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paper0
2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series.
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paper
2017Sir Clive Grangers contributions to nonlinear time series and econometrics In: CREATES Research Papers.
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paper0
2017Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis In: CREATES Research Papers.
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paper0
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers.
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paper0
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
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paper0
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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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
0Nonlinear models in macroeconometrics In: CREATES Research Papers.
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paper0
1910Panel Smooth Transition Regression Models In: CREATES Research Papers.
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paper180
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: 180
paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 180
paper
2006Modelling autoregressive processes with a shifting mean In: Borradores de Economia.
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paper9
2008Modelling Autoregressive Processes with a Shifting Mean.(2008) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has another version. Agregated cites: 9
article
2006Modelling autoregressive processes with a shifting mean.(2006) In: BORRADORES DE ECONOMIA.
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paper
2007Modelling autoregressive processes with a shifting mean.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article77
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 77
paper
2006Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics.
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article47
2004Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 47
paper
1996Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article84
1995Testing Parameter Constancy and super Exogeneity in Econometric Equations.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2006Simulation-based Finite Sample Linearity Test against Smooth Transition Models In: Oxford Bulletin of Economics and Statistics.
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article5
2005Simulation-based finite-sample linearity test against smooth transition models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 5
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1998 Comment on N. R. Ericsson, D. F. Hendry and K. M. Prestwich, The Demand for Broad Money in the United Kingdom, 1878-1993. In: Scandinavian Journal of Economics.
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1985 Modelling the Dynamic Relationship between Wages and Prices in Finland. In: Scandinavian Journal of Economics.
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article2
1996Power Properties of Linearity Tests for Time Series In: Studies in Nonlinear Dynamics & Econometrics.
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article4
1996Power Properties of Linearity Tests for Time Series.(1996) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
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paper2
2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 2
paper
1981Some results on improving the least squares estimation of linear models by mixed estimation In: CORE Discussion Papers RP.
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paper0
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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2004A Time Series Model for an Exchange Rate in a Target Zone with Applications In: Econometric Society 2004 Australasian Meetings.
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paper34
2006A time series model for an exchange rate in a target zone with applications.(2006) In: Journal of Econometrics.
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2003A time series model for an exchange rate in a target zone with applications.(2003) In: SSE/EFI Working Paper Series in Economics and Finance.
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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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article31
2007Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
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article26
2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
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paper
2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 26
paper
2006A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal.
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article9
1986Aspects of modelling nonlinear time series In: Handbook of Econometrics.
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chapter4
2006Forecasting economic variables with nonlinear models In: Handbook of Economic Forecasting.
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chapter12
2005Forecasting economic variables with nonlinear models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999A simple nonlinear time series model with misleading linear properties In: Economics Letters.
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article100
1998A simple nonlinear time series model with misleading linear properties.(1998) In: SSE/EFI Working Paper Series in Economics and Finance.
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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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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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2008Positivity constraints on the conditional variances in the family of conditional correlation GARCH models In: Finance Research Letters.
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0Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models.(0) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
1994The combination of forecasts using changing weights In: International Journal of Forecasting.
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article49
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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2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
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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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1990Use of preliminary values in forecasting industrial production In: International Journal of Forecasting.
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2000Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers.
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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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2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews.
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2013Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques In: Finnish Economic Papers.
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article1
1999A General Framework for Testing the Granger Noncausality Hypothesis. In: G.R.E.Q.A.M..
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paper9
1999A general framework for testing the Granger noncausality hypothesis.(1999) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2013Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form In: Post-Print.
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paper0
1995Investigating Stability and Linearity of a German M1 Money Demand Function In: SSE/EFI Working Paper Series in Economics and Finance.
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paper54
1999Investigating Stability and Linearity of a German M1 Money Demand Function..(1999) In: Journal of Applied Econometrics.
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1995Investigating Stability and Linearity of a German M1 Money Demand Function.(1995) In: SFB 373 Discussion Papers.
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1996Testing Linearity against Nonlinear Moving Average Models In: SSE/EFI Working Paper Series in Economics and Finance.
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paper0
1997Testing Linearity against Nonlinear Moving Average Models.(1997) In: Umeå Economic Studies.
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1996Two Stylized Facts and the Garch (1,1) Model In: SSE/EFI Working Paper Series in Economics and Finance.
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paper3
1996Modelling the Demand for M3 in the unified Germany In: SSE/EFI Working Paper Series in Economics and Finance.
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paper45
1998Modeling The Demand For M3 In The Unified Germany.(1998) In: The Review of Economics and Statistics.
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1996Modelling the Demand for M3 in the Unified Germany.(1996) In: SFB 373 Discussion Papers.
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1996Stylized Facts of Daily Return Series and the Hidden Markov Model In: SSE/EFI Working Paper Series in Economics and Finance.
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1998Stylized facts of daily return series and the hidden Markov model.(1998) In: Journal of Applied Econometrics.
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1996Another Look at Swedish Business Cycles, 1861-1988 In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Another Look at Swedish Business Cycles, 1861-1988..(1999) In: Journal of Applied Econometrics.
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1996Another Look at Swedish Business Cycles, 1861-1988.(1996) In: SFB 373 Discussion Papers.
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1996Modelling Economic Relationships with Smooth Transition Regressions In: SSE/EFI Working Paper Series in Economics and Finance.
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1996Smooth Transition Models In: SSE/EFI Working Paper Series in Economics and Finance.
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1997Fourth Moment Structure of the GARCH (p, q) Process In: SSE/EFI Working Paper Series in Economics and Finance.
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1997Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints In: SSE/EFI Working Paper Series in Economics and Finance.
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1997Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance.
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paper2
1998Modelling asymmetries and moving equilibria in unemployment rates In: SSE/EFI Working Paper Series in Economics and Finance.
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paper112
1998A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance.
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paper23
1998Nonlinear error-correction and the UK demand for broad money, 1878-1993 In: SSE/EFI Working Paper Series in Economics and Finance.
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paper20
2001Non-linear error correction and the UK demand for broad money, 1878-1993.(2001) In: Journal of Applied Econometrics.
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