35
H index
67
i10 index
5522
Citations
Aarhus Universitet (50% share) | 35 H index 67 i10 index 5522 Citations RESEARCH PRODUCTION: 74 Articles 137 Papers 2 Books 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Timo Teräsvirta. | Is cited by: | Cites to: |
Year | Title of citing document | |
---|---|---|
2021 | Is 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. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2020 | Finance, 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. Full description at Econpapers || Download paper | |
2020 | Aid 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Foreign 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. Full description at Econpapers || Download paper | |
2021 | Dating 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. Full description at Econpapers || Download paper | |
2021 | TESTING 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. Full description at Econpapers || Download paper | |
2020 | Finance, 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. Full description at Econpapers || Download paper | |
2020 | Aid 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Budget 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. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2020 | The 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. Full description at Econpapers || Download paper | |
2020 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147. Full description at Econpapers || Download paper | |
2020 | Doubly 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333. Full description at Econpapers || Download paper | |
2022 | Predicting 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. Full description at Econpapers || Download paper | |
2021 | Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223. Full description at Econpapers || Download paper | |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper | |
2021 | Improved 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. Full description at Econpapers || Download paper | |
2021 | Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan. In: Papers. RePEc:arx:papers:2101.04113. Full description at Econpapers || Download paper | |
2021 | Market 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. Full description at Econpapers || Download paper | |
2021 | BBE: Simulating the Microstructural Dynamics of an In-Play Betting Exchange via Agent-Based Modelling. (2021). Cliff, Dave. In: Papers. RePEc:arx:papers:2105.08310. Full description at Econpapers || Download paper | |
2021 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper | |
2021 | Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923. Full description at Econpapers || Download paper | |
2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper | |
2022 | Evaluating 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. Full description at Econpapers || Download paper | |
2022 | A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146. Full description at Econpapers || Download paper | |
2022 | Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2020 | Effects 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. Full description at Econpapers || Download paper | |
2021 | FORECASTING 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. Full description at Econpapers || Download paper | |
2021 | Impacts 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2021 | Dynamics 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. Full description at Econpapers || Download paper | |
2021 | Nonlinear 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2021 | Uncertainty 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. Full description at Econpapers || Download paper | |
2022 | Exploring 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. Full description at Econpapers || Download paper | |
2021 | Economic 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. Full description at Econpapers || Download paper | |
2020 | Twoâ€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. Full description at Econpapers || Download paper | |
2020 | Backtesting portfolio valueâ€atâ€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. Full description at Econpapers || Download paper | |
2020 | Tests 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. Full description at Econpapers || Download paper | |
2020 | Regime 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | Inference 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. Full description at Econpapers || Download paper | |
2022 | Real 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. Full description at Econpapers || Download paper | |
2021 | Testing 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. Full description at Econpapers || Download paper | |
2021 | Forecasting UK GDP growth with large survey panels. (2021). Kapetanios, George ; Kalamara, Eleni ; Anesti, Nikoleta. In: Bank of England working papers. RePEc:boe:boeewp:0923. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Outliers 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. Full description at Econpapers || Download paper | |
2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper | |
2020 | Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060. Full description at Econpapers || Download paper | |
2020 | Uncertainty 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. Full description at Econpapers || Download paper | |
2021 | Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9027. Full description at Econpapers || Download paper | |
2021 | Tackling 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. Full description at Econpapers || Download paper | |
2022 | Nonlinearities 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. Full description at Econpapers || Download paper | |
2020 | Infrastructures and the real exchange rate. (2020). Morvillier, Florian. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-26. Full description at Econpapers || Download paper | |
2021 | Dating 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. Full description at Econpapers || Download paper | |
2021 | On 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. Full description at Econpapers || Download paper | |
2021 | Urbanization, Governance and Informal Economy: an African Tale. (2021). Ndoya, Hermann ; Dongmo, Aristophane Djeufack. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00876. Full description at Econpapers || Download paper | |
2021 | Macroeconomic reversal rate in a low interest rate environment. (2021). Samarina, Anna ; Konietschke, Paul ; Stanga, Irina M ; van den End, Jan Willem. In: Working Paper Series. RePEc:ecb:ecbwps:20212620. Full description at Econpapers || Download paper | |
2021 | Oil 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. Full description at Econpapers || Download paper | |
2021 | Changes 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. Full description at Econpapers || Download paper | |
2021 | Real-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. Full description at Econpapers || Download paper | |
2021 | Evaluating 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. Full description at Econpapers || Download paper | |
2021 | Hidden 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. Full description at Econpapers || Download paper | |
2022 | Kernel-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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2020 | Finance, 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. Full description at Econpapers || Download paper | |
2021 | Impact 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. Full description at Econpapers || Download paper | |
2021 | Oil 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. Full description at Econpapers || Download paper | |
2021 | Volatility 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. Full description at Econpapers || Download paper | |
2021 | Investigating 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. Full description at Econpapers || Download paper | |
2021 | Asymmetric 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. Full description at Econpapers || Download paper | |
2021 | Non-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. Full description at Econpapers || Download paper | |
2022 | Clean 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. Full description at Econpapers || Download paper | |
2020 | Regime 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. Full description at Econpapers || Download paper | |
2020 | Artificial 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. Full description at Econpapers || Download paper | |
2020 | Threshold 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. Full description at Econpapers || Download paper | |
2021 | Does 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Correlation 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. Full description at Econpapers || Download paper | |
2021 | Is 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. Full description at Econpapers || Download paper | |
2021 | Facing 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. Full description at Econpapers || Download paper | |
2021 | Public 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. Full description at Econpapers || Download paper | |
2021 | Growth, 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. Full description at Econpapers || Download paper | |
2020 | Valuation 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Stock 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. Full description at Econpapers || Download paper | |
2020 | Panel 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. Full description at Econpapers || Download paper | |
2020 | A 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. Full description at Econpapers || Download paper | |
2020 | Nonlinearities 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. Full description at Econpapers || Download paper | |
2021 | Testing 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. Full description at Econpapers || Download paper | |
2021 | Time-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. Full description at Econpapers || Download paper | |
2021 | Adaptive 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|
Year | Title | Type | Cited |
---|---|---|---|
2008 | Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 81 |
2007 | Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 81 | paper | |
2009 | Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 81 | article | |
2008 | Multivariate GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 94 |
2008 | Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 94 | paper | |
2008 | Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
2008 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2005 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2008 | Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 35 |
2013 | Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form.(2013) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
2012 | Testing 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: 35 | paper | |
2009 | Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
2011 | Forecasting inflation with gradual regime shifts and exogenous information.(2011) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2010 | Forecasting with nonlinear time series models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
2011 | Modelling Volatility by Variance Decomposition In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 57 |
2013 | Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | article | |
2011 | Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 57 | paper | |
2011 | Nonlinear models for autoregressive conditional heteroskedasticity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2011 | Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
2011 | Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations.(2011) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2014 | Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations.(2014) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
2011 | Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
2016 | Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2011 | Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
2014 | Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009.(2014) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2012 | Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 32 |
2014 | Modelling changes in the unconditional variance of long stock return series.(2014) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | article | |
2012 | Modelling Changes in the Unconditional Variance of Long Stock Return Series.(2012) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2012 | Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
2015 | Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2012 | Unit roots, nonlinearities and structural breaks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2013 | Unit roots, non-linearities and structural breaks.(2013) In: Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | chapter | |
2012 | Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 54 |
2014 | A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2017 | A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 41 |
2014 | Linearity and misspecification tests for vector smooth transition regression models.(2014) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
2014 | Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2016 | A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2017 | Sir Clive Grangers contributions to nonlinear time series and econometrics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2017 | Consistency 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] | paper | 1 |
2017 | Modelling and forecasting WIG20 daily returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | Modelling 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 | |
2017 | Nonlinear models in macroeconometrics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Panel Smooth Transition Regression Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 342 |
2017 | Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 342 | paper | |
2005 | Panel Smooth Transition Regression Models.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 342 | paper | |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2018 | The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | The 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 | |
2018 | Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model.(2019) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Comparing 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] | paper | 0 |
2021 | Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2021 | Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | A 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] | paper | 0 |
2006 | Modelling autoregressive processes with a shifting mean In: Borradores de Economia. [Full Text][Citation analysis] | paper | 9 |
2008 | Modelling Autoregressive Processes with a Shifting Mean.(2008) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2006 | Modelling autoregressive processes with a shifting mean.(2006) In: BORRADORES DE ECONOMIA. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2007 | Modelling 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 | |
2003 | Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 104 |
2000 | Time-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: 104 | paper | |
2006 | Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 56 |
2004 | Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
1993 | POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 55 |
1999 | Properties of the Autocorrelation Function of Squared Observations for Second?order Garch Processes Under Two Sets of Parameter Constraints In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
1997 | Properties 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. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1985 | MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
1996 | Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 114 |
1995 | Testing Parameter Constancy and super Exogeneity in Econometric Equations.(1995) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 114 | paper | |
2006 | Simulation?based Finite Sample Linearity Test against Smooth Transition Models* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 5 |
2005 | Simulation-based finite-sample linearity test against smooth transition models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1998 | Comments 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. [Full Text][Citation analysis] | article | 0 |
1996 | Power Properties of Linearity Tests for Time Series In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 5 |
1996 | Power Properties of Linearity Tests for Time Series.(1996) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2002 | Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2002 | Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
1981 | Some results on improving the least squares estimation of linear models by mixed estimation In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
1980 | The polynomial distributed lag revisited In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 0 |
1980 | The Polynomial Distributed Lag Revisited..(1980) In: Empirical Economics. [Citation analysis] This paper has another version. Agregated cites: 0 | article | |
1999 | FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS In: Econometric Theory. [Full Text][Citation analysis] | article | 46 |
1997 | Fourth Moment Structure of the GARCH (p, q) Process.(1997) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
2002 | MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 52 |
2004 | AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE In: Econometric Theory. [Full Text][Citation analysis] | article | 40 |
2002 | An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure.(2002) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2001 | INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 1 |
2002 | MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 134 |
1998 | Modelling asymmetries and moving equilibria in unemployment rates.(1998) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 134 | paper | |
2004 | A Time Series Model for an Exchange Rate in a Target Zone with Applications In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 42 |
2006 | A time series model for an exchange rate in a target zone with applications.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | article | |
2003 | A time series model for an exchange rate in a target zone with applications.(2003) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 42 | paper | |
1976 | A Note on Bias in the Almon Distributed Lag Estimator. In: Econometrica. [Full Text][Citation analysis] | article | 0 |
2009 | Testing for volatility interactions in the Constant Conditional Correlation GARCH model In: Econometrics Journal. [Full Text][Citation analysis] | article | 43 |
2007 | Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2003 | The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal. [Full Text][Citation analysis] | article | 31 |
2001 | The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2002 | The 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2006 | A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal. [Full Text][Citation analysis] | article | 15 |
1986 | Aspects of modelling nonlinear time series In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 5 |
2006 | Forecasting economic variables with nonlinear models In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 31 |
2005 | Forecasting economic variables with nonlinear models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
1999 | A simple nonlinear time series model with misleading linear properties In: Economics Letters. [Full Text][Citation analysis] | article | 125 |
1998 | A simple nonlinear time series model with misleading linear properties.(1998) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 125 | paper | |
2002 | Long memory and nonlinear time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
2002 | Evaluating GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 83 |
1999 | Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
1999 | Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2006 | Common factors in conditional distributions for bivariate time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 39 |
2007 | Testing constancy of the error covariance matrix in vector models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2006 | Testing constancy of the error covariance matrix in vector models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
1982 | Underestimation of mean square error matrix in misspecified linear models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
1987 | The extended Stein procedure for simultaneous model selection and parameter estimation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
1987 | Usefulness of proxy variables in linear models with stochastic regressors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
1994 | Testing the constancy of regression parameters against continuous structural change In: Journal of Econometrics. [Full Text][Citation analysis] | article | 206 |
1996 | Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 416 |
1995 | Testing the Adequacy of Smooth Transition Autoregressive Models.(1995) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 416 | paper | |
1999 | Testing parameter constancy in linear models against stochastic stationary parameters In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
1995 | Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters.(1995) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
1995 | Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters.(1995) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
1999 | Properties of moments of a family of GARCH processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 114 |
1997 | Properties of Moments of a Family of GARCH Processes.(1997) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 114 | paper | |
1976 | Forecasting the consumption of alcoholic beverages in Finland : A box-Jenkins approach In: European Economic Review. [Full Text][Citation analysis] | article | 0 |
2008 | Positivity constraints on the conditional variances in the family of conditional correlation GARCH models In: Finance Research Letters. [Full Text][Citation analysis] | article | 22 |
0000 | Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models.(0000) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
1994 | The combination of forecasts using changing weights In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 59 |
1995 | Professor Clive W.J. Granger: An interview for the International Journal of Forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
1996 | Short-term forecasting of industrial production with business survey data: experience from Finlands great depression 1990-1993 In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
1997 | The International Institute of Forecasters Award for the Best Forecasting Paper In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2005 | Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 90 |
2004 | Linear 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. [Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
2004 | Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão. [Full Text][Citation analysis] This paper has another version. Agregated cites: 90 | paper | |
2005 | Reply In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
1990 | Use of preliminary values in forecasting industrial production In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2000 | Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 547 |
2001 | Smooth Transition Autoregressive Models - A Survey of Recent Developments.(2001) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 547 | paper | |
2002 | SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 547 | article | |
2013 | Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques In: Finnish Economic Papers. [Full Text][Citation analysis] | article | 15 |
1999 | A General Framework for Testing the Granger Noncausality Hypothesis. In: G.R.E.Q.A.M.. [Citation analysis] | paper | 15 |
1999 | A general framework for testing the Granger noncausality hypothesis.(1999) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
1995 | Investigating Stability and Linearity of a German M1 Money Demand Function In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 59 |
1999 | Investigating Stability and Linearity of a German M1 Money Demand Function..(1999) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | article | |
1995 | Investigating Stability and Linearity of a German M1 Money Demand Function.(1995) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
1996 | Testing Linearity against Nonlinear Moving Average Models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 0 |
1997 | Testing Linearity against Nonlinear Moving Average Models.(1997) In: Umeå Economic Studies. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1996 | Two Stylized Facts and the Garch (1,1) Model In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 4 |
1996 | Modelling the Demand for M3 in the unified Germany In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 48 |
1998 | Modeling The Demand For M3 In The Unified Germany.(1998) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | article | |
1996 | Modelling the Demand for M3 in the Unified Germany.(1996) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
1996 | Stylized Facts of Daily Return Series and the Hidden Markov Model In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 131 |
1998 | Stylized facts of daily return series and the hidden Markov model.(1998) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 131 | article | |
1996 | Another Look at Swedish Business Cycles, 1861-1988 In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 44 |
1999 | Another Look at Swedish Business Cycles, 1861-1988..(1999) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | article | |
1996 | Another Look at Swedish Business Cycles, 1861-1988.(1996) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
1996 | Modelling Economic Relationships with Smooth Transition Regressions In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 6 |
1996 | Smooth Transition Models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 216 |
1997 | Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 4 |
1998 | A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 24 |
1998 | Nonlinear error-correction and the UK demand for broad money, 1878-1993 In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 4 |
1998 | Modelling economic high-frequency time series with STAR-STGARCH models In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 32 |
2000 | A simple variable selection technique for nonlinear models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 18 |
1999 | A simple variable selection technique for nonlinear models.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
1999 | Higher-order dependence in the general Power ARCH process and a special case In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 7 |
1999 | THE NET BARTER TERMS OF TRADE : A SMOOTH TRANSITION APPROACH In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 8 |
2003 | The net barter terms of trade: A smooth transition approach.(2003) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
1999 | Fourth Moment Structure of a Family of First-Order Exponential GARCH Models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 12 |
1999 | Fourth Moment Structure of a Family of First-Order Exponential GARCH Models.(1999) In: Research Paper Series. [Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2000 | Forecasting with smooth transition autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 7 |
2004 | Testing parameter constancy in stationary vector autoregressive models against continuous change In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 14 |
2009 | Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change.(2009) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2002 | Building neural network models for time series: A statistical approach In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 49 |
2006 | Building neural network models for time series: a statistical approach.(2006) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | article | |
2002 | Building Neural Network Models for Time Series: A Statistical Approach.(2002) In: Textos para discussão. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
2002 | An application of the analogy between vector ARCH and vector random coefficient autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 3 |
2002 | Error correction in DHSY In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 0 |
2004 | Stylized Facts of Financial Time Series and Three Popular Models of Volatility In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 22 |
2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 60 |
2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
2005 | Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 18 |
2005 | Univariate nonlinear time series models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 1 |
2006 | An introduction to univariate GARCH models In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 10 |
2007 | Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 24 |
2011 | Stylized facts of return series, robust estimates and three popular models of volatility.(2011) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2001 | Non-linear error correction and the UK demand for broad money, 1878-1993 In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 28 |
1988 | Formation of Firms Production Decisions in Finnish Manufacturing Industries. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
1992 | Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 555 |
1993 | Modeling Nonlinearity over the Business Cycle In: NBER Chapters. [Full Text][Citation analysis] | chapter | 24 |
2010 | Working With Clive Granger: Two Short Memories In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
1993 | Modelling Non-Linear Economic Relationships In: OUP Catalogue. [Citation analysis] | book | 403 |
2010 | Modelling Nonlinear Economic Time Series In: OUP Catalogue. [Citation analysis] | book | 150 |
1988 | A Review of PC-GIVE: A Statistical Package for Econometric Modelling In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1988 | Testing Linearity of Economic Time Series against Cyclical A symmetry In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
1989 | Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1989 | How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production? In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1991 | Forecasting the Outputof Finnish Forest Industries Using Business Survey Data In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
1996 | Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finlands Great Depression In: Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
2001 | Statistical methods for modelling neural networks In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
1995 | Modelling Nonlinearity in U.S. Gross National Product 1889-1987. In: Empirical Economics. [Citation analysis] | article | 3 |
2017 | Specification and testing of multiplicative time-varying GARCH models with applications In: Econometric Reviews. [Full Text][Citation analysis] | article | 15 |
2010 | Sir Clive William John Granger, 1934-2009 In: New Zealand Economic Papers. [Full Text][Citation analysis] | article | 0 |
1999 | Modelling Economic High-Frequency Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2013 | Financial sector and output dynamics in the euro area countries In: ZEW policy briefs. [Full Text][Citation analysis] | paper | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team