Timo Teräsvirta : Citation Profile

Aarhus Universitet

37

H index

68

i10 index

5950

Citations

RESEARCH PRODUCTION:

81

Articles

140

Papers

2

Books

5

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   48 years (1976 - 2024). See details.
   Cites by year: 123
   Journals where Timo Teräsvirta has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 102 (1.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pte1
   Updated: 2025-03-15    RAS profile: 2024-12-09    
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Relations with other researchers

Works with:

Silvennoinen, Annastiina (8)

Hall, Anthony (2)

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

Is cited by:

Mignon, Valérie (116)

Milas, Costas (94)

Medeiros, Marcelo (89)

GUPTA, RANGAN (77)

Balcilar, Mehmet (71)

JAWADI, Fredj (71)

Zanetti Chini, Emilio (69)

Ubilava, David (64)

Reitz, Stefan (62)

van Dijk, Dick (58)

Holt, Matthew (58)

Cites to:

Engle, Robert (96)

Bollerslev, Tim (69)

Amado, Cristina (59)

Silvennoinen, Annastiina (45)

Jagannathan, Ravi (32)

Hansen, Bruce (32)

Perron, Pierre (27)

Tse, Y. K. (19)

Bauwens, Luc (18)

van Dijk, Dick (18)

Sentana, Enrique (17)

Main data

Production by document typebookpaperchapterarticle19801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202401020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19761977197819791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250200400Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202402505007501,000Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 37Most cited documents1234567891011121314151617181920212223242526272829303132333435363738390250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250302040h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Timo Teräsvirta has published?

Journals with more than one article published# docs
Journal of Econometrics15
International Journal of Forecasting8
Econometric Reviews7
Journal of Applied Econometrics6
Studies in Nonlinear Dynamics & Econometrics4
Econometric Theory3
Econometrics Journal3
Journal of Financial Econometrics3
Journal of Time Series Analysis3
Econometrics2
Macroeconomic Dynamics2
Empirical Economics2
Econometrics and Statistics2
Energy Economics2
Oxford Bulletin of Economics and Statistics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics56
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 discuss�o / 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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024.

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2024A Learning Model with Memory in the Financial Markets. (2024). Mishra, Tapas ; DIEBOLT, Claude ; Chandrasena, Supun ; Sing, Shikta ; Enilov, Martin ; Alhussain, Abdullah ; Shi, Yue. In: Working Papers. RePEc:afc:wpaper:06-24.

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2024Globalization in Lifelong Gender Inclusive Education for Structural Transformation in Africa. (2024). Asongu, Simplice ; Agyemang-Mintah, Peter. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:24/013.

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2024A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2025Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

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2024Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2024Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2024Smooth transition moving average models: Estimation, testing, and computation. (2024). Li, Dong ; Zhang, Xinyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:463-478.

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2024Revisiting the resource curse: Does volatility matter?. (2024). Kirat, Yassine. In: Kyklos. RePEc:bla:kyklos:v:77:y:2024:i:4:p:944-976.

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2024A New Approach to Forecasting the Probability of Recessions after the COVID‐19 Pandemic. (2024). Camacho, Maximo ; Ruiz, Manuel ; Ramallo, Salvador. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:4:p:833-855.

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2024.

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2024.

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2024Restructuring reforms for green growth. (2024). Jalles, Joao ; Cevik, Serhan. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:71:y:2024:i:4:p:515-541.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2025Are money demand equations still alive and kicking? Historical evidence of cointegration for the UK, using nonlinear techniques. (2025). Arranz, Miguel Angel ; Rodrguez, Juan Andrs ; Escribano, Lvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:45845.

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2025Forecasting Dutch inflation using machine learning methods. (2025). de Winter, Jasper ; Rasiawan, Rajni ; Berben, Robert-Paul. In: Working Papers. RePEc:dnb:dnbwpp:828.

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2024The dynamics of international patents production: A panel smooth transition regression approach. (2024). Omri, Sofiene ; Jebeniani, Arbia Jihene ; Trabelsi, Jamel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01026.

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2024Interpretable domain-informed and domain-agnostic features for supervised and unsupervised learning on building energy demand data. (2024). Kazmi, Hussain ; Miller, Clayton ; Khalil, Mohamad ; Balint, Attila ; Fu, Chun ; Canaydin, Ada. In: Applied Energy. RePEc:eee:appene:v:360:y:2024:i:c:s0306261924001247.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2024Discrepancy and cross-regional bias in sovereign credit ratings: Analyzing the role of public debt. (2024). Nguimkeu, Pierre ; Tatoutchoup, Didier ; ben Hmiden, Oussama ; Avele, Donatien. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004121.

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2024Decoding market reactions: The certification role of EU-wide stress tests. (2024). Ongena, Steven ; Marques, Aurea ; Durrani, Agha. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001858.

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2025Assessing the regime-switching role of risk mitigation measures on agricultural vulnerability: A threshold analysis. (2025). Wen, Xiaojie ; Mennig, Philipp ; Sauer, Johannes. In: Ecological Economics. RePEc:eee:ecolec:v:227:y:2025:i:c:s092180092400257x.

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2024Sieve bootstrap inference for linear time-varying coefficient models. (2024). Lin, Yicong ; Friedrich, Marina. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622001701.

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2024The economic aftermath of surges in public and private debt: Initial conditions and channels. (2024). Jalles, Joao ; Medas, Paulo. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:3:s0939362524000165.

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2024Uncertainty shocks, financial frictions, and business cycle asymmetries across countries. (2024). Chatterjee, Pratiti. In: European Economic Review. RePEc:eee:eecrev:v:162:y:2024:i:c:s001429212300274x.

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2024Public expenditure multipliers and informality. (2024). Furceri, Davide ; Pizzuto, Pietro ; Colombo, Emilio ; Tirelli, Patrizio. In: European Economic Review. RePEc:eee:eecrev:v:164:y:2024:i:c:s0014292124000321.

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2024Global supply chain inflationary pressures and monetary policy in Mexico. (2024). Ventosa-Santaulària, Daniel ; Hernandez, Juan ; Valencia, Eduardo J ; Ventosa-Santaularia, Daniel. In: Emerging Markets Review. RePEc:eee:ememar:v:58:y:2024:i:c:s1566014123000948.

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2024Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions. (2024). USMAN, OJONUGWA ; Duman, Gazi Murat ; Balcilar, Mehmet. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000815.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Can inflation predict energy price volatility?. (2024). Batten, Jonathan ; Mo, DI ; Pourkhanali, Armin. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006564.

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2024Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223.

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2024Examining the non-linear effects of monetary policy on carbon emissions. (2024). Chen, LI ; Yang, Cunyi ; Wu, Junwei. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988323007041.

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2024How do changes in settlement periods affect wholesale market prices? Evidence from Australias National Electricity Market. (2024). Khezr, Peyman ; Csereklyei, Zsuzsanna. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001336.

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2024Sentiment and energy price volatility: A nonlinear high frequency analysis. (2024). Uddin, Gazi ; Rozin, Philippe ; Bourghelle, David ; Jawadi, Fredj ; Cheffou, Abdoulkarim Idi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001737.

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2024Re-examining crude oil and natural gas price relationship: Evidence from time-varying regime-switching models. (2024). Hasanli, Mubariz. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002184.

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2024Crises and energy markets reforms. (2024). Pizzuto, Pietro ; Furceri, Davide ; Bettarelli, Luca ; Yarveisi, Khatereh. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004146.

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2024From 30- to 5-minute settlement rule in the NEM: An early evaluation. (2024). Rai, Alan ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias. In: Energy Policy. RePEc:eee:enepol:v:194:y:2024:i:c:s0301421524003252.

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2024Digitalization as a trigger for a rebound effect of electricity use. (2024). Qin, Xiong-Feng ; Peng, Hua-Rong. In: Energy. RePEc:eee:energy:v:300:y:2024:i:c:s0360544224013586.

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2024The contribution of clean energy consumption and production to sustainable economic development: New insights from the PSTR model. (2024). Jiang, Peng ; Cao, Yun ; Yin, Kedong ; Wang, Yuchen ; Zhang, Qinyi. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s0360544224031773.

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2024Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. (2024). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552.

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2024The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?. (2024). Belkacem, Lotfi ; ben Hamida, Amal ; de Peretti, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004496.

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2024Competitive dynamics and risk of non-life insurance in Taiwan: An empirical study. (2024). Wang, Mei-Chih ; Chen, Guan-Chih. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000863.

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2024Financial fragility, regime change, and monetary policy in an open economy – A model and empirical application to emerging market countries. (2024). Semmler, Willi ; Toure, Marieme. In: International Economics. RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000556.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). Jawadi, Fredj ; Bastidon, Cecile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2024(Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854.

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2024Information distance: Conceptual development and empirical tests of a novel measure of cross-national distance. (2024). Puck, Jonas ; Lindner, Thomas. In: Journal of International Management. RePEc:eee:intman:v:30:y:2024:i:2:s1075425323000844.

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2024Flight delay propagation inference in air transport networks using the multilayer perceptron. (2024). Okhrin, Ostap ; Fricke, Hartmut ; Chen, Gong ; Rosenow, Judith. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:114:y:2024:i:c:s0969699723001539.

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2024Comparison of artificial neural networks and regression analysis for airway passenger estimation. (2024). Ozfirat, Pinar Mizrak ; Ari, Didem. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:115:y:2024:i:c:s0969699724000188.

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2024Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM. (2024). Semmler, Willi ; Chen, PU. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:220:y:2024:i:c:p:433-452.

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2024Private bank deposits and macro/fiscal risk in the euro-area. (2024). Kontonikas, Alexandros ; Gadea, Maria-Dolores ; Arghyrou, Michael G. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001936.

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2024Regional fiscal spillovers: The role of trade linkages. (2024). Pizzuto, Pietro ; Furceri, Davide ; Bettarelli, Luca ; Yarveisi, Khatereh. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001961.

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2024Uncertainty and innovation in renewable energy. (2024). Pizzuto, Pietro ; Shakoor, Nadia ; Furceri, Davide ; Bettarelli, Luca. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:149:y:2024:i:c:s026156062400189x.

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2024Non-linear relationship between FinTech, natural resources, green innovation and environmental sustainability: Evidence from panel smooth transition regression model. (2024). Mahmoud, Haitham A ; Zhu, Xianglei ; Su, Nan ; Zhe, Dong ; Akhtar, Tazeem. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002691.

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2024Navigating the storm: Time-frequency quantile dependence and non-linear causality between crypto-currency market volatility and financial instability. (2024). Bouzouita, Nesrine ; Chaabane, Najeh ; Gaies, Brahim. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:43-70.

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2024The effect of human capital on the trade-growth nexus: A dynamic panel threshold analysis. (2024). Gharsallah, Mariem ; Trabelsi, Salwa. In: Research in Economics. RePEc:eee:reecon:v:78:y:2024:i:4:s1090944324000528.

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2024Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers. (2024). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:302-315.

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2024International capital flow in a period of high inflation: The case of China. (2024). Moussa, Faten ; Liu, Zhenya ; Mu, Yuhao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923001964.

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2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Cipollini, F ; Candila, V. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

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2024Evaluating the nonlinear association between PM10 and emergency department visits. (2024). Golinelli, Davide ; Santi, Luca ; Sanmarchi, Francesco ; Bucci, Andrea. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:93:y:2024:i:c:s0038012124000867.

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2024Exploring non-linear causal nexus between economic growth and energy consumption across various R&D regimes: cross-country evidence from a PSTR model. (2024). Heshmati, Almas ; Mamkhezri, Jamal. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:122698.

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2024.

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2024Forecasting Realized Covariances Using HAR-Type Models. (2024). Quiroz, Matias ; Manner, Hans ; Tafakori, Laleh. In: Graz Economics Papers. RePEc:grz:wpaper:2024-20.

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2025Crude Oil Price Shocks and Stock Market Volatility: Evidence From China. (2025). Chen, Gao Tian ; Hui, Gao. In: Review of European Studies. RePEc:ibn:resjnl:v:14:y:2025:i:4:p:39.

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2024Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series. (2024). SADEFO KAMDEM, Jules ; Pokou, Fredy ; Benhmad, Franois. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10499-9.

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2024The complex relationship between credit and liquidity risks: a linear and non-linear analysis for the banking sector. (2024). Zaghdoudi, Taha ; Hakimi, Abdelaziz ; Bouslimi, Jihen ; Tissaoui, Kais. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02951-4.

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2024The Time Dependence and Interconnectedness of Developed Stock Markets. (2024). Dima, Bogdan ; Saraolu, Anca-Adriana. In: The Review of Finance and Banking. RePEc:rfb:journl:v:16:y:2024:i:2:p:273-293.

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2024Modeling transitions in nation brand equity: An empirical assessment of the nation equity power grid. (2024). Juusola, Katariina ; Lahrech, Abdelmounaim. In: Australian Journal of Management. RePEc:sae:ausman:v:49:y:2024:i:2:p:249-271.

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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  ↓
2023Long Monthly European Temperature Series and the North Atlantic Oscillation In: Economics Working Papers.
[Full Text][Citation analysis]		paper0
2023Long monthly European temperature series and the North Atlantic Oscillation.(2023) In: Energy Economics.
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This paper has nother version. Agregated cites: 0		article
2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper89
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.
[Citation analysis]
This paper has nother version. Agregated cites: 89		paper
2009Modeling 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 nother version. Agregated cites: 89		article
2008Multivariate GARCH models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper95
2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 95		paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
[Full Text][Citation analysis]		paper22
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers.
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2000A simple variable selection technique for nonlinear models In: SSE/EFI Working Paper Series in Economics and Finance.
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1999A simple variable selection technique for nonlinear models.(1999) In: SFB 373 Discussion Papers.
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1999Higher-order dependence in the general Power ARCH process and a special case In: SSE/EFI Working Paper Series in Economics and Finance.
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1999THE NET BARTER TERMS OF TRADE : A SMOOTH TRANSITION APPROACH In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Fourth Moment Structure of a Family of First-Order Exponential GARCH Models In: SSE/EFI Working Paper Series in Economics and Finance.
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2000Forecasting with smooth transition autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance.
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2004Testing parameter constancy in stationary vector autoregressive models against continuous change In: SSE/EFI Working Paper Series in Economics and Finance.
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2009Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change.(2009) In: Econometric Reviews.
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2002Building neural network models for time series: A statistical approach In: SSE/EFI Working Paper Series in Economics and Finance.
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2002An application of the analogy between vector ARCH and vector random coefficient autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance.
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2002Error correction in DHSY In: SSE/EFI Working Paper Series in Economics and Finance.
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2004Stylized Facts of Financial Time Series and Three Popular Models of Volatility In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series.
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2005Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Univariate nonlinear time series models In: SSE/EFI Working Paper Series in Economics and Finance.
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2007Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility In: SSE/EFI Working Paper Series in Economics and Finance.
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2011Stylized facts of return series, robust estimates and three popular models of volatility.(2011) In: Applied Financial Economics.
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2001Non-linear error correction and the UK demand for broad money, 1878-1993 In: Journal of Applied Econometrics.
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1989Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis In: Discussion Papers.
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