32
H index
58
i10 index
4266
Citations
Timo Teräsvirta : Citation Profile
Aarhus Universitet (50% share) | RESEARCH PRODUCTION: 73 Articles 137 Papers 2 Books 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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43 years (1976 - 2019). Relations with other researchers
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:
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Main data
Where Timo Teräsvirta has published?
Recent works citing Timo Teräsvirta (2020 and 2019)
| Year | Title of citing document | |
|---|---|---|
| 2017 | Long- 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. Full description at Econpapers || Download paper | |
| 2018 | Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13. Full description at Econpapers || Download paper | |
| 2019 | Testing 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. Full description at Econpapers || Download paper | |
| 2019 | Insurance Policy Thresholds for Economic Growth in Africa. (2019). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/037. Full description at Econpapers || Download paper | |
| 2017 | MIDAS 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. Full description at Econpapers || Download paper | |
| 2019 | Human 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. Full description at Econpapers || Download paper | |
| 2019 | Human 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. Full description at Econpapers || Download paper | |
| 2019 | Non-linear finance-growth nexus for African countries: A panel smooth transition regression approach. (2019). Jobarteh, Mustapha ; Kaya, Huseyin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:3(620):p:205-222. Full description at Econpapers || Download paper | |
| 2019 | Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440. Full description at Econpapers || Download paper | |
| 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 ; Monte, Enric ; Torra, Salvador. In: AQR Working Papers. RePEc:aqr:wpaper:201701. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
| 2018 | Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348. Full description at Econpapers || Download paper | |
| 2019 | Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419. Full description at Econpapers || Download paper | |
| 2019 | A Bootstrap Test for the Existence of Moments for GARCH Processes. (2019). Heinemann, Alexander. In: Papers. RePEc:arx:papers:1902.01808. Full description at Econpapers || Download paper | |
| 2020 | Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089. Full description at Econpapers || Download paper | |
| 2019 | 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 | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2019 | A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522. Full description at Econpapers || Download paper | |
| 2019 | Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107. Full description at Econpapers || Download paper | |
| 2019 | Robust 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. Full description at Econpapers || Download paper | |
| 2020 | Can one hear the size of a target zone?. (2020). Rinaldo, Daniele ; Kumar, Shekhar Hari ; Hongler, Max-Olivier ; Arcand, Jean-Louis ; Jean - Louis Arcand, . In: Papers. RePEc:arx:papers:2002.00948. Full description at Econpapers || Download paper | |
| 2020 | A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319. Full description at Econpapers || Download paper | |
| 2019 | Regime-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. Full description at Econpapers || Download paper | |
| 2019 | Global 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. Full description at Econpapers || Download paper | |
| 2019 | Forecasting the Colombian Unemployment Rate Using Labour Force Flows. (2019). Zarate-Solano, Hector M ; Lasso-Valderrama, Francisco. In: Borradores de Economia. RePEc:bdr:borrec:1073. Full description at Econpapers || Download paper | |
| 2020 | Entendiendo, Modelando y Pronosticando el Efecto de “El Niño” Sobre los Precios de los Alimentos: El Caso Colombiano. (2020). Julio, Juan ; Cardenas-Cardenas, Julian Alonso ; Caicedo-Garcia, Edgar ; Julio-Roman, Juan Manuel ; Bejarano-Salcedo, Valeria. In: Borradores de Economia. RePEc:bdr:borrec:1102. Full description at Econpapers || Download paper | |
| 2019 | REGIME DEPENDENT EFFECT OF OUTPUT GROWTH ON OUTPUT GROWTH UNCERTAINTY: EVIDENCE FROM OECD COUNTRIES. (2019). Sarkar, Nityananda ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:257-282. Full description at Econpapers || Download paper | |
| 2019 | EFFECT OF OIL PRICES ON STOCK MARKETS: EVIDENCE FROM NEW GENERATION OF STAR MODEL. (2019). Abdelsalam, Mamdouh ; Abdelmoula, Mamdouh ; Harb, Nermeen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:466-482. Full description at Econpapers || Download paper | |
| 2018 | Interest 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. Full description at Econpapers || Download paper | |
| 2019 | Sentiment, 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. Full description at Econpapers || Download paper | |
| 2017 | WHEN ARE WAVELETS USEFUL FORECASTERS?. (2017). Yazgan, Ege ; Gencay, Ramazan. In: Working Papers. RePEc:bli:wpaper:1704. Full description at Econpapers || Download paper | |
| 2017 | Uncertainty and monetary policy in good and bad times. (2017). Nodari, Gabriela ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_008. Full description at Econpapers || Download paper | |
| 2018 | Uncertainty Shocks and Asymmetric Dynamics in Korea: A Nonlinear Approach. (2018). Kim, Jaebeom ; Larcher, Kevin. In: Working Papers. RePEc:bok:wpaper:1812. Full description at Econpapers || Download paper | |
| 2017 | Stock 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. Full description at Econpapers || Download paper | |
| 2017 | Modeling 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. Full description at Econpapers || Download paper | |
| 2017 | Changes in persistence, spurious regressions and the Fisher hypothesis. (2017). Ventosa-Santaulà ria, 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. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2019 | Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, MarÃa ; Arghyrou, Michael. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2019/6. Full description at Econpapers || Download paper | |
| 2017 | Uncertainty and Monetary Policy in Good and Bad Times. (2017). Nodari, Gabriela ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6630. Full description at Econpapers || Download paper | |
| 2017 | Strategic 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. Full description at Econpapers || Download paper | |
| 2019 | Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, MarÃa ; Arghyrou, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7532. Full description at Econpapers || Download paper | |
| 2019 | Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000. 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 | |
| 2019 | The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11. Full description at Econpapers || Download paper | |
| 2018 | Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, Luc ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803. Full description at Econpapers || Download paper | |
| 2019 | Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013. Full description at Econpapers || Download paper | |
| 2019 | Forecasting Volatility in Cryptocurrency Markets. (2019). Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7919. Full description at Econpapers || Download paper | |
| 2019 | Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:29030. Full description at Econpapers || Download paper | |
| 2019 | Nonlinear Effects of Military Spending on Economic Growth in Sub-Saharan Africa. (2019). Dunne, John ; Makanza, Christine S. In: School of Economics Macroeconomic Discussion Paper Series. RePEc:ctn:dpaper:2019-04. Full description at Econpapers || Download paper | |
| 2019 | Determinants of investments in solar photovoltaic: Do oil prices really matter?. (2019). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Escoffier, Margaux. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-28. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Duration-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. Full description at Econpapers || Download paper | |
| 2018 | Nonlinear 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. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Real exchange rate misalignments in CEECs: have they hindered growth?. (2019). Regis, Paulo ; Cuestas, Juan ; Mourelle, Estefania . In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2018-05. Full description at Econpapers || Download paper | |
| 2019 | Behavior 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. Full description at Econpapers || Download paper | |
| 2019 | Stock and bond returns correlation in Korea: Local versus global risk during crisis periods. (2019). Ho, Young ; Fang, Zhongzheng ; Park, Keehwan. In: Journal of Asian Economics. RePEc:eee:asieco:v:65:y:2019:i:c:s1049007818303282. Full description at Econpapers || Download paper | |
| 2018 | Chinese 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. Full description at Econpapers || Download paper | |
| 2019 | Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61. Full description at Econpapers || Download paper | |
| 2020 | The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x. Full description at Econpapers || Download paper | |
| 2017 | Structural 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. Full description at Econpapers || Download paper | |
| 2017 | Stock 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. Full description at Econpapers || Download paper | |
| 2018 | U.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. Full description at Econpapers || Download paper | |
| 2018 | Sectoral 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. Full description at Econpapers || Download paper | |
| 2019 | On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152. Full description at Econpapers || Download paper | |
| 2019 | Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147. Full description at Econpapers || Download paper | |
| 2018 | Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186. Full description at Econpapers || Download paper | |
| 2019 | Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596. Full description at Econpapers || Download paper | |
| 2019 | Nonlinear exchange rate pass-through in timber products: The case of oriented strand board in Canada and the United States. (2019). Goodwin, Barry ; Prestemon, Jeffrey P ; Holt, Matthew T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818303802. Full description at Econpapers || Download paper | |
| 2019 | Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849. Full description at Econpapers || Download paper | |
| 2019 | Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. (2019). Su, Xianfang ; Jiang, Yong ; Kuang, Yuanpei ; Lin, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300968. Full description at Econpapers || Download paper | |
| 2017 | Economic policy uncertainty and unemployment in the United States: A nonlinear approach. (2017). Figueres, Juan ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:31-34. Full description at Econpapers || Download paper | |
| 2018 | State-dependent risk taking and the transmission of monetary policy shocks. (2018). Sahuc, Jean-Guillaume ; Garcia Sanchez, Pablo ; Fève, Patrick ; Feve, Patrick. In: Economics Letters. RePEc:eee:ecolet:v:164:y:2018:i:c:p:10-14. Full description at Econpapers || Download paper | |
| 2019 | Smooth transitions across latitudes and longitudes: An application of a nonlinear panel regression to the climate—economics nexus. (2019). Villoria, Nelson ; Ubilava, David ; Tack, Jesse. In: Economics Letters. RePEc:eee:ecolet:v:182:y:2019:i:c:p:114-117. Full description at Econpapers || Download paper | |
| 2017 | Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244. Full description at Econpapers || Download paper | |
| 2017 | Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188. Full description at Econpapers || Download paper | |
| 2018 | Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282. Full description at Econpapers || Download paper | |
| 2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247. Full description at Econpapers || Download paper | |
| 2019 | A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242. Full description at Econpapers || Download paper | |
| 2019 | To tell the truth or the perceived truth: Structural estimation of peer effects in China’s macroeconomic forecast. (2019). Li, Feiyue ; Geng, Hao ; Lv, Yuxia ; Hou, Linke. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:2:9. Full description at Econpapers || Download paper | |
| 2019 | Structural combination of seasonal exponential smoothing forecasts applied to load forecasting. (2019). de Menezes, Lilian M ; Rendon-Sanchez, Juan F. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:3:p:916-924. Full description at Econpapers || Download paper | |
| 2018 | Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets. (2018). Ngene, Geoffrey ; Mungai, Ann N ; Post, Jordin A. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:181-198. Full description at Econpapers || Download paper | |
| 2018 | Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180. Full description at Econpapers || Download paper | |
| 2019 | A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180. Full description at Econpapers || Download paper | |
| 2020 | Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82. Full description at Econpapers || Download paper | |
| 2017 | The impact of the German response to the Fukushima earthquake. (2017). Waterson, Michael ; Grossi, Luigi ; Heim, Sven. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:450-465. Full description at Econpapers || Download paper | |
| 2018 | Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298. Full description at Econpapers || Download paper | |
| 2018 | Understanding the US natural gas market: A Markov switching VAR approach. (2018). Hou, Chenghan ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:42-53. Full description at Econpapers || Download paper | |
| 2019 | Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model. (2019). Wang, Shixuan ; Gözgör, Giray ; Apergis, Nicholas ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:129-142. Full description at Econpapers || Download paper | |
| 2019 | Oil price collapse and challenges to economic transformation of Saudi Arabia: A time-series analysis. (2019). JAWADI, Fredj ; Ftiti, Zied. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:12-19. Full description at Econpapers || Download paper | |
| 2019 | Asymmetric reactions of the US natural gas market and economic activity. (2019). Okimoto, Tatsuyoshi ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:86-99. Full description at Econpapers || Download paper | |
| 2019 | Can expanding natural gas consumption reduce Chinas CO2 emissions?. (2019). Lin, Boqiang ; Xu, Bin. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:393-407. Full description at Econpapers || Download paper | |
| 2019 | Leverage effect in energy futures revisited. (2019). Carnero, M. Angeles ; Perez, Ana. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:237-252. Full description at Econpapers || Download paper | |
| 2019 | Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies. (2019). Tiwari, Aviral ; Demirer, Riza ; Albulescu, Claudiu ; Raheem, Ibrahim D. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:375-388. Full description at Econpapers || Download paper | |
| 2019 | Calculating the damage of a cartel subject to transition periods: The international uranium cartel in the 1970s. (2019). Söderberg, Magnus ; Soderberg, Magnus ; Sandberg, Rickard ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302683. Full description at Econpapers || Download paper | |
| 2019 | How does financial development affect energy consumption? Evidence from 21 transitional countries. (2019). Chen, Hongtao ; Shen, Yongchang ; Lu, Rou ; Yue, Shujing . In: Energy Policy. RePEc:eee:enepol:v:130:y:2019:i:c:p:253-262. Full description at Econpapers || Download paper | |
| 2019 | How does the capacity utilization of thermal power generation affect pollutant emissions? Evidence from the panel data of Chinas provinces. (2019). Komonpipat, Supak ; Yan, Weilong ; Wang, Yongpei. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:440-451. Full description at Econpapers || Download paper | |
| 2019 | Time of day effects of temperature and daylight on short term electricity load. (2019). Perez Garcia, Julian ; Perez-Garcia, Julian ; Moral-Carcedo, Julian. In: Energy. RePEc:eee:energy:v:174:y:2019:i:c:p:169-183. Full description at Econpapers || Download paper | |
| 2019 | Revisiting and revising the energy-growth nexus: A non-linear modeling analysis. (2019). Tiba, Sofien. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:667-675. Full description at Econpapers || Download paper | |
| 2019 | Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x. Full description at Econpapers || Download paper | |
| 2017 | Cross-financial-market correlations and quantitative easing. (2017). Zhang, Jie ; Zhong, Rui ; Kryzanowski, Lawrence. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:13-21. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Timo Teräsvirta has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Timo Teräsvirta:
| 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 | 67 |
| 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: 67 | 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: 67 | article | |
| 2008 | Multivariate GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 65 |
| 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: 65 | paper | |
| 2008 | Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 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: 19 | 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: 19 | paper | |
| 2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 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: 22 | 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: 22 | paper | |
| 2008 | Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 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: 22 | 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: 22 | paper | |
| 2009 | Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 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: 10 | 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 | 42 |
| 2013 | Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | article | |
| 2011 | Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 42 | 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 | 15 |
| 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: 15 | 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: 15 | article | |
| 2011 | Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 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: 7 | article | |
| 2011 | Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 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: 8 | article | |
| 2012 | Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 25 |
| 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: 25 | 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: 25 | paper | |
| 2012 | Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 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: 19 | 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 | 2 |
| 2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 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 | 2 |
| 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: 2 | article | |
| 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 36 |
| 2014 | Linearity and misspecification tests for vector smooth transition regression models.(2014) In: CORE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
| 2014 | Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: CORE Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | 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 | 6 |
| 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: 6 | 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: 6 | article | |
| 2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | 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: 1 | 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 | 0 |
| 2017 | Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | 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: 0 | 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 | 273 |
| 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: 273 | paper | |
| 2005 | Panel Smooth Transition Regression Models.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 273 | paper | |
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | 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 | 0 |
| 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: 0 | 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 |
| 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 | 93 |
| 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: 93 | paper | |
| 2006 | Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 51 |
| 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: 51 | paper | |
| 1993 | POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
| 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 | 100 |
| 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: 100 | 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 | 4 |
| 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: 4 | 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: CORE Discussion Papers RP. [Citation analysis] | paper | 0 |
| 1980 | The polynomial distributed lag revisited In: CORE Discussion Papers RP. [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 | 43 |
| 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: 43 | paper | |
| 2002 | MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 57 |
| 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: 57 | paper | |
| 2004 | AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE In: Econometric Theory. [Full Text][Citation analysis] | article | 38 |
| 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: 38 | 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 | 126 |
| 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: 126 | 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 | 38 |
| 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: 38 | 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 | 30 |
| 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: 30 | 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: 30 | paper | |
| 2006 | A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal. [Full Text][Citation analysis] | article | 12 |
| 1986 | Aspects of modelling nonlinear time series In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 4 |
| 2006 | Forecasting economic variables with nonlinear models In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 12 |
| 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: 12 | paper | |
| 1999 | A simple nonlinear time series model with misleading linear properties In: Economics Letters. [Full Text][Citation analysis] | article | 109 |
| 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: 109 | paper | |
| 2002 | Long memory and nonlinear time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2002 | Evaluating GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 75 |
| 1999 | Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
| 1999 | Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | paper | |
| 2006 | Common factors in conditional distributions for bivariate time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 39 |
| 2003 | Common factors in conditional distributions for Bivariate time series.(2003) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
| 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 | 2 |
| 1994 | Testing the constancy of regression parameters against continuous structural change In: Journal of Econometrics. [Full Text][Citation analysis] | article | 186 |
| 1996 | Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 377 |
| 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: 377 | 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 | 101 |
| 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: 101 | 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 | 54 |
| 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 | 9 |
| 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 | 74 |
| 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: 74 | 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: 74 | 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 | 501 |
| 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: 501 | 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: 501 | 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 | 14 |
| 1999 | A General Framework for Testing the Granger Noncausality Hypothesis. In: G.R.E.Q.A.M.. [Citation analysis] | paper | 9 |
| 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: 9 | 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 | 58 |
| 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: 58 | 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: 58 | 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 | 3 |
| 1996 | Modelling the Demand for M3 in the unified Germany In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 47 |
| 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: 47 | 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: 47 | 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 | 104 |
| 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: 104 | 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 | 37 |
| 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: 37 | 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: 37 | paper | |
| 1996 | Modelling Economic Relationships with Smooth Transition Regressions In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 1 |
| 1996 | Smooth Transition Models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 1 |
| 1997 | Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 2 |
| 1998 | A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 27 |
| 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 | 21 |
| 2001 | Non-linear error correction and the UK demand for broad money, 1878-1993.(2001) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
| 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 | 19 |
| 2000 | A simple variable selection technique for nonlinear models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 17 |
| 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: 17 | 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 | 6 |
| 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: 6 | 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 | 10 |
| 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: 10 | paper | |
| 2000 | Forecasting with smooth transition autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 3 |
| 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 | 13 |
| 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: 13 | 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 | 35 |
| 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: 35 | 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: 35 | 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 | 2 |
| 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 | 15 |
| 2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 49 |
| 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: 49 | 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 | 15 |
| 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 | 8 |
| 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 | 17 |
| 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: 17 | article | |
| 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 | 481 |
| 1993 | Modeling Nonlinearity over the Business Cycle In: NBER Chapters. [Full Text][Citation analysis] | chapter | 18 |
| 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 | 213 |
| 2010 | Modelling Nonlinear Economic Time Series In: OUP Catalogue. [Citation analysis] | book | 40 |
| 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 | 10 |
| 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 | 1 |
| 2017 | Specification and testing of multiplicative time-varying GARCH models with applications In: Econometric Reviews. [Full Text][Citation analysis] | article | 7 |
| 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 | 3 |
| 2013 | Financial sector and output dynamics in the euro area countries In: ZEW policy briefs. [Full Text][Citation analysis] | paper | 4 |
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