Timo Teräsvirta : Citation Profile


Are you Timo Teräsvirta?

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

29

H index

54

i10 index

3925

Citations

RESEARCH PRODUCTION:

67

Articles

132

Papers

2

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   42 years (1976 - 2018). See details.
   Cites by year: 93
   Journals where Timo Teräsvirta has often published
   Relations with other researchers
   Recent citing documents: 360.    Total self citations: 83 (2.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pte1
   Updated: 2019-10-15    RAS profile: 2019-01-17    
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Relations with other researchers


Works with:

Silvennoinen, Annastiina (13)

Amado, Cristina (9)

Yang, Yukai (6)

Hurn, Stan (4)

Kock, Anders (3)

Catani, Paul (2)

Gonzalez, Andres (2)

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

Is cited by:

Milas, Costas (85)

Mignon, Valérie (73)

Medeiros, Marcelo (69)

GUPTA, RANGAN (60)

Ubilava, David (58)

Balcilar, Mehmet (52)

JAWADI, Fredj (52)

Franses, Philip Hans (51)

Reitz, Stefan (48)

Holt, Matthew (47)

Zanetti Chini, Emilio (47)

Cites to:

Engle, Robert (73)

Bollerslev, Tim (45)

Granger, Clive (27)

Hansen, Bruce (26)

Amado, Cristina (23)

White, Halbert (21)

Perron, Pierre (19)

Jagannathan, Ravi (19)

Silvennoinen, Annastiina (18)

Tse, Y. K. (14)

Saikkonen, Pentti (14)

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 Reviews6
Journal of Financial Econometrics3
Studies in Nonlinear Dynamics & Econometrics3
Journal of Time Series Analysis3
Econometrics Journal3
Scandinavian Journal of Economics2
Oxford Bulletin of Economics and Statistics2
Journal of Business & Economic Statistics2
Empirical Economics2

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

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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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2018Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22.

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2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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

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

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2017The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2017). Chavas, Jean-Paul ; Li, Jian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259185.

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2018The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2018). Chavas, J.-P., ; Li, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275976.

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2018How Have China s Agricultural Price Support Policies Affected Market Prices?: A Quantile Regression Evaluation. (2018). Li, J ; Chavas, J.-P., . In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277557.

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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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2018“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201801.

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2018“A regional perspective on the accuracy of machine learning forecasts of tourism demand based on data characteristics”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201802.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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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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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2018Testing of Binary Regime Switching Models using Squeeze Duration Analysis. (2018). Das, Milan Kumar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1807.04393.

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2019Dynamic Tail Inference with Log-Laplace Volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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

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

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

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

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

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

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

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

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

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2018Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:36:y:2018:i:85:p:48-64.

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2018Nonlinear state and shock dependence of exchange rate pass through on prices. (2018). Rodríguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto. In: BIS Working Papers. RePEc:bis:biswps:690.

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2018Macro-financial linkages: the role of liquidity dependence. (2018). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna. In: BIS Working Papers. RePEc:bis:biswps:716.

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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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2018A MODEL OF INFLATION TRANSMISSION IN AN EXCHANGE RATE TARGET ZONE. (2018). Chua, Kevin C. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:285-297.

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2018Interest Rates, Local Housing Markets and House Price Over†reactions. (2018). Tsiaplias, Sarantis ; Lim, Guay. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:s1:p:33-48.

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

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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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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2017Economic Freedom and Income Inequality: Evidence from a Panel of Global Economies— A Linear and a Non-Linear Long-Run Analysis. (2017). Cooray, Arusha ; Apergis, Nicholas. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:1:p:88-105.

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2017Testing and explaining economic resilience with an application to Italian regions. (2017). di Caro, Paolo. In: Papers in Regional Science. RePEc:bla:presci:v:96:y:2017:i:1:p:93-113.

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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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2017Structural Break, Nonlinearity and the Hysteresis hypothesis: Evidence from new unit root tests.. (2017). Oflaz, Zarina. In: Econometrics Letters. RePEc:bmo:bmoart:v:4:y:2017:i:2:p:1-16.

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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). Nodari, Gabriela ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_008.

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2018Uncertainty Shocks and Asymmetric Dynamics in Korea: A Nonlinear Approach. (2018). Kim, Jaebeom ; Larcher, Kevin. In: Working Papers. RePEc:bok:wpaper:1812.

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2018Do Korean Exports Have Different Patterns over Different Regimes?: New Evidence from STAR-VECM. (2018). Kim, Sei-Wan ; Choi, Moon Jung. In: Working Papers. RePEc:bok:wpaper:1830.

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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 ; Souhir, Chlibi ; Mohamed, Sellami ; Fredj, Jawadi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:47-63:n:5.

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

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

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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

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

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2017Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market. (2017). Long, Ngo ; Dungey, Mardi ; van Long, Ngo ; Ghahremanlou, Ali. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6819.

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2018Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models. (2018). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7072.

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

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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: Working Papers. RePEc:cii:cepidt:2017-07.

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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

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2018Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA. RePEc:col:000107:016935.

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2018Inflation Dynamics and Price Flexibility in the UK. (2018). Simonsen, Lasse ; Santoro, Emiliano ; Petrella, Ivan ; de la Porte, Lasse . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13027.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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

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2018Gold Price and Exchange Rates: A Panel Smooth Transition Regression Model for the G7 Countries. (2018). Giannellis, Nikolaos ; Koukouritakis, Minoas. In: Working Papers. RePEc:crt:wpaper:1806.

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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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2018Public Expenditure Multipliers in recessions. Evidence from the Eurozone.. (2018). Boitani, Andrea ; Perdichizzi, Salvatore . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def068.

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

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2018The asymmetric behaviour of spanish unemployment persistence. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00970.

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

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2018Nonlinear Exchange Rate Transmission in the Euro Area: A Multivariate Smooth Transition Regression Approach. (2018). Ben Cheikh, Nidhaleddine ; Nguyen, Pascal ; Younes, Ben Zaied ; ben Zaied, Younes . In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00270.

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2018Is the relationship between external debt and human development non-linear? A PSTR approach for developing countries. (2018). Zaghdoudi, Khemais. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00571.

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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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2018Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier. (2018). Tzavalis, Elias ; McAdam, Peter ; Christopoulos, Dimitris. In: Working Paper Series. RePEc:ecb:ecbwps:20182136.

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

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2018Asymmetric monetary and exchange-rate policies in Latin American countries that use inflation targeting. (2018). Libman, Emiliano . In: Revista CEPAL. RePEc:ecr:col070:44318.

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

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2018Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR. (2018). Fontaine, Idriss ; Didier, Laurent ; Razafindravaosolonirina, Justinien. In: China Economic Review. RePEc:eee:chieco:v:51:y:2018:i:c:p:1-19.

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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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2018An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484.

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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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2018U.S. wage growth and nonlinearities: The roles of inflation and unemployment. (2018). Donayre, Luiggi ; Panovska, Irina . In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:273-292.

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2018On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes. (2018). Cho, Dooyeon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:310-319.

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2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239.

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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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paper64
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: 64
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: 64
article
2008Multivariate GARCH models In: CREATES Research Papers.
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paper64
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: 64
paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
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paper18
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: 18
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: 18
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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paper18
2013Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form.(2013) In: Post-Print.
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This paper has another version. Agregated cites: 18
paper
2012Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form.(2012) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 18
paper
2009Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers.
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paper10
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: 10
paper
2010Forecasting with nonlinear time series models In: CREATES Research Papers.
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paper13
2011Modelling Volatility by Variance Decomposition In: CREATES Research Papers.
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paper41
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 41
article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 41
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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paper14
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations.(2011) In: NIPE Working Papers.
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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: 14
article
2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers.
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paper6
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: 6
article
2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers.
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paper8
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: 8
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
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paper25
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: 25
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: 25
paper
2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
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paper18
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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article
2012Unit roots, nonlinearities and structural breaks In: CREATES Research Papers.
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paper4
2013Unit roots, non-linearities and structural breaks.(2013) In: Chapters.
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chapter
2012Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis In: CREATES Research Papers.
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paper2
2013Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers.
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paper19
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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paper35
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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paper22
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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paper6
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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article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
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paper1
2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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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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paper1
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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article
2017Nonlinear models in macroeconometrics In: CREATES Research Papers.
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paper0
2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
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paper207
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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paper
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
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paper1
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
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paper
2018The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 In: CREATES Research Papers.
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paper0
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
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paper0
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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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.
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paper
2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article91
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics.
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article51
2004Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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1993POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis.
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1999Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints In: Journal of Time Series Analysis.
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1997Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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1985MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS In: Journal of Time Series Analysis.
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1996Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics.
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article92
1995Testing Parameter Constancy and super Exogeneity in Econometric Equations.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Simulation-based Finite Sample Linearity Test against Smooth Transition Models In: Oxford Bulletin of Economics and Statistics.
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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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1998 Comment on N. R. Ericsson, D. F. Hendry and K. M. Prestwich, The Demand for Broad Money in the United Kingdom, 1878-1993. In: Scandinavian Journal of Economics.
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article0
1985 Modelling the Dynamic Relationship between Wages and Prices in Finland. In: Scandinavian Journal of Economics.
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article3
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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2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
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2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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1981Some results on improving the least squares estimation of linear models by mixed estimation In: CORE Discussion Papers RP.
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1980The polynomial distributed lag revisited In: CORE Discussion Papers RP.
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1980The Polynomial Distributed Lag Revisited..(1980) In: Empirical Economics.
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2004A Time Series Model for an Exchange Rate in a Target Zone with Applications In: Econometric Society 2004 Australasian Meetings.
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paper40
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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2007Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
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2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
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2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal.
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1986Aspects of modelling nonlinear time series In: Handbook of Econometrics.
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2006Forecasting economic variables with nonlinear models In: Handbook of Economic Forecasting.
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1999A simple nonlinear time series model with misleading linear properties In: Economics Letters.
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1998A simple nonlinear time series model with misleading linear properties.(1998) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002Long memory and nonlinear time series In: Journal of Econometrics.
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1999Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers.
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2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
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2003Common factors in conditional distributions for Bivariate time series.(2003) In: FMG Discussion Papers.
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2007Testing constancy of the error covariance matrix in vector models In: Journal of Econometrics.
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2006Testing constancy of the error covariance matrix in vector models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance.
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1982Underestimation of mean square error matrix in misspecified linear models In: Journal of Econometrics.
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1987The extended Stein procedure for simultaneous model selection and parameter estimation In: Journal of Econometrics.
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1987Usefulness of proxy variables in linear models with stochastic regressors In: Journal of Econometrics.
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1994Testing the constancy of regression parameters against continuous structural change In: Journal of Econometrics.
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1996Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics.
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1995Testing the Adequacy of Smooth Transition Autoregressive Models.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Testing parameter constancy in linear models against stochastic stationary parameters In: Journal of Econometrics.
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1995Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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1995Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters.(1995) In: SFB 373 Discussion Papers.
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1999Properties of moments of a family of GARCH processes In: Journal of Econometrics.
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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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0000Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models.(0000) In: SSE/EFI Working Paper Series in Economics and Finance.
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1994The combination of forecasts using changing weights In: International Journal of Forecasting.
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1995Professor Clive W.J. Granger: An interview for the International Journal of Forecasting In: International Journal of Forecasting.
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1996Short-term forecasting of industrial production with business survey data: experience from Finlands great depression 1990-1993 In: International Journal of Forecasting.
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1997The International Institute of Forecasters Award for the Best Forecasting Paper In: International Journal of Forecasting.
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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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article69
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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1999A General Framework for Testing the Granger Noncausality Hypothesis. In: G.R.E.Q.A.M..
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1999A general framework for testing the Granger noncausality hypothesis.(1999) In: SSE/EFI Working Paper Series in Economics and Finance.
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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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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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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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1996Modelling the Demand for M3 in the unified Germany In: SSE/EFI Working Paper Series in Economics and Finance.
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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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1997Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance.
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1998Modelling asymmetries and moving equilibria in unemployment rates In: SSE/EFI Working Paper Series in Economics and Finance.
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paper123
1998A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance.
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paper26
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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paper21
2001Non-linear error correction and the UK demand for broad money, 1878-1993.(2001) In: Journal of Applied Econometrics.
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1998Modelling economic high-frequency time series with STAR-STGARCH models In: SSE/EFI Working Paper Series in Economics and Finance.
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