29
H index
53
i10 index
3816
Citations
Timo Teräsvirta : Citation Profile
Aarhus Universitet (50% share) | RESEARCH PRODUCTION: 67 Articles 132 Papers 2 Books 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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42 years (1976 - 2018). 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 (2018 and 2017)
| 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 | |
| 2018 | Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22. Full description at Econpapers || Download paper | |
| 2018 | Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23. 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 | |
| 2017 | The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2017). Chavas, Jean-Paul ; Li, Jian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259185. Full description at Econpapers || Download paper | |
| 2018 | The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2018). Chavas, J.-P., ; Li, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275976. Full description at Econpapers || Download paper | |
| 2018 | How Have China s Agricultural Price Support Policies Affected Market Prices?: A Quantile Regression Evaluation. (2018). Li, J ; Chavas, J.-P., . In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277557. 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 ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201701. Full description at Econpapers || Download paper | |
| 2018 | “Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201801. Full description at Econpapers || Download paper | |
| 2018 | “A regional perspective on the accuracy of machine learning forecasts of tourism demand based on data characteristics”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201802. Full description at Econpapers || Download paper | |
| 2018 | Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). BarunÃk, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946. Full description at Econpapers || Download paper | |
| 2017 | Time Series Copulas for Heteroskedastic Data. (2017). Loaiza-Maya, Rub'En ; Maneesoonthorn, Worapree ; Smith, Michael S. In: Papers. RePEc:arx:papers:1701.07152. Full description at Econpapers || Download paper | |
| 2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. 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 | |
| 2018 | Testing of Binary Regime Switching Models using Squeeze Duration Analysis. (2018). Das, Milan Kumar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1807.04393. 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 | |
| 2017 | The Effect of Exchange Rate Volatility on Stock Return in Taiwan Around Abenomics. (2017). Chien-Chung, Nieh ; Hsun-Fang, Cho . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:368-380. Full description at Econpapers || Download paper | |
| 2018 | Government Size and Economic Growth in Asia - Evidence from China and Japan. (2018). Nguyet, Thi Bich ; Phung, Duc Nam. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:71-89. Full description at Econpapers || Download paper | |
| 2017 | Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754. Full description at Econpapers || Download paper | |
| 2017 | A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points. (2017). Xing, Haipeng ; Zhou, Sichen ; Yuan, Hongsong . In: Review of Economics & Finance. RePEc:bap:journl:170204. Full description at Econpapers || Download paper | |
| 2018 | Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:36:y:2018:i:85:p:48-64. Full description at Econpapers || Download paper | |
| 2018 | Nonlinear state and shock dependence of exchange rate pass through on prices. (2018). RodrÃguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto. In: BIS Working Papers. RePEc:bis:biswps:690. Full description at Econpapers || Download paper | |
| 2018 | Macro-financial linkages: the role of liquidity dependence. (2018). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna. In: BIS Working Papers. RePEc:bis:biswps:716. Full description at Econpapers || Download paper | |
| 2017 | Macro-financial linkages: the role of liquidity dependence. (2017). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps24. Full description at Econpapers || Download paper | |
| 2018 | A MODEL OF INFLATION TRANSMISSION IN AN EXCHANGE RATE TARGET ZONE. (2018). Chua, Kevin C. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:285-297. 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 | |
| 2018 | FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334. Full description at Econpapers || Download paper | |
| 2017 | Local Gaussian Autocorrelation and Tests for Serial Independence. (2017). Lacal, Virginia ; Tjostheim, Dag. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:51-71. Full description at Econpapers || Download paper | |
| 2017 | Economic Freedom and Income Inequality: Evidence from a Panel of Global Economies— A Linear and a Non-Linear Long-Run Analysis. (2017). Cooray, Arusha ; Apergis, Nicholas. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:1:p:88-105. Full description at Econpapers || Download paper | |
| 2017 | Testing and explaining economic resilience with an application to Italian regions. (2017). di Caro, Paolo. In: Papers in Regional Science. RePEc:bla:presci:v:96:y:2017:i:1:p:93-113. 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 | Structural Break, Nonlinearity and the Hysteresis hypothesis: Evidence from new unit root tests.. (2017). Oflaz, Zarina. In: Econometrics Letters. RePEc:bmo:bmoart:v:4:y:2017:i:2:p:1-16. Full description at Econpapers || Download paper | |
| 2017 | Solvency and wholesale funding cost interactions at UK banks. (2017). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran . In: Bank of England working papers. RePEc:boe:boeewp:0681. 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 | |
| 2018 | Do Korean Exports Have Different Patterns over Different Regimes?: New Evidence from STAR-VECM. (2018). Kim, Sei-Wan ; Choi, Moon Jung. In: Working Papers. RePEc:bok:wpaper:1830. 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 | A Markov-switching regression model with non-Gaussian innovations: estimation and testing. (2017). De Angelis, Luca ; Cinzia, Viroli. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:2:p:22:n:3. 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 | |
| 2017 | Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14. 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 | |
| 2018 | Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models. (2018). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7072. Full description at Econpapers || Download paper | |
| 2017 | On the Current Account - Biofuels Link in Emerging and Developing Countries: Do Oil Price Fluctuations Matter?. (2017). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Gomes, Gabriel. In: Working Papers. RePEc:cii:cepidt:2017-07. Full description at Econpapers || Download paper | |
| 2018 | Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803. Full description at Econpapers || Download paper | |
| 2018 | Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA. RePEc:col:000107:016935. Full description at Econpapers || Download paper | |
| 2018 | Inflation Dynamics and Price Flexibility in the UK. (2018). Simonsen, Lasse ; Santoro, Emiliano ; Petrella, Ivan ; de la Porte, Lasse . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13027. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118. Full description at Econpapers || Download paper | |
| 2018 | Gold Price and Exchange Rates: A Panel Smooth Transition Regression Model for the G7 Countries. (2018). Giannellis, Nikolaos ; Koukouritakis, Minoas. In: Working Papers. RePEc:crt:wpaper:1806. Full description at Econpapers || Download paper | |
| 2017 | Estimating Fiscal multipliers in the Eurozone. A Nonlinear Panel Data Approach.. (2017). Perdichizzi, Salvatore. In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def058. Full description at Econpapers || Download paper | |
| 2018 | Public Expenditure Multipliers in recessions. Evidence from the Eurozone.. (2018). Boitani, Andrea ; Perdichizzi, Salvatore . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def068. Full description at Econpapers || Download paper | |
| 2017 | The Reaction of Stock Market Returns to Unemployment. (2017). Taamouti, Abderrahim ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:24120. Full description at Econpapers || Download paper | |
| 2017 | Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market. (2017). Escribano, Alvaro ; Saez, Alvaro Escribano ; Torrado, Maria . In: UC3M Working papers. Economics. RePEc:cte:werepe:24984. Full description at Econpapers || Download paper | |
| 2017 | MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION. (2017). Dufrénot, Gilles ; Khayat, Guillaume A ; Dufrenot, Gilles. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:05:p:1175-1188_00. Full description at Econpapers || Download paper | |
| 2017 | Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672. Full description at Econpapers || Download paper | |
| 2017 | Inflation Targeting and the Forward Bias Puzzle in Emerging Countries. (2017). Kempf, Hubert ; Coulibaly, Dramane. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-12. Full description at Econpapers || Download paper | |
| 2017 | On the current account - biofuels link in emerging and developing countries: do oil price fluctuations matter?. (2017). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Gomes, Gabriel. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-30. Full description at Econpapers || Download paper | |
| 2017 | The effects on economic growth of natural resources in Sub-Saharan Africa: Does the quality of institutions matters?. (2017). TSOPMO, Pierre Christian ; Mondjeli, Itchoko Motande . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00550. Full description at Econpapers || Download paper | |
| 2017 | Modeling nonlinear water demand : The case of Tunisia. (2017). Ben Cheikh, Nidhaleddine ; Nguyen, Pascal ; Younes, Ben Zaied ; ben Zaied, Younes . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00022. Full description at Econpapers || Download paper | |
| 2017 | On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030. Full description at Econpapers || Download paper | |
| 2017 | Threshold effect in the relationship between environmental taxes and CO2 emissions: A PSTR specification. (2017). Zaghdoudi, Taha ; MAKTOUF, Samir. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00684. Full description at Econpapers || Download paper | |
| 2018 | The asymmetric behaviour of spanish unemployment persistence. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00970. 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 | |
| 2018 | Is the relationship between external debt and human development non-linear? A PSTR approach for developing countries. (2018). Zaghdoudi, Khemais. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00571. Full description at Econpapers || Download paper | |
| 2017 | A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446. Full description at Econpapers || Download paper | |
| 2018 | Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier. (2018). Tzavalis, Elias ; McAdam, Peter ; Christopoulos, Dimitris. In: Working Paper Series. RePEc:ecb:ecbwps:20182136. Full description at Econpapers || Download paper | |
| 2018 | Asymmetric monetary and exchange-rate policies in Latin American countries that use inflation targeting. (2018). Libman, Emiliano . In: Revista CEPAL. RePEc:ecr:col070:44318. Full description at Econpapers || Download paper | |
| 2017 | Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11. Full description at Econpapers || Download paper | |
| 2017 | Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72. 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 | |
| 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 | |
| 2018 | An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484. 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 | |
| 2017 | The growth-volatility nexus: New evidence from an augmented GARCH-M model. (2017). Trypsteen, Steven. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:15-25. 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 | On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes. (2018). Cho, Dooyeon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:310-319. 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 | |
| 2018 | Testing extreme dependence in financial time series. (2018). Chaudhuri, Kausik ; Tan, Zheng ; Sen, Rituparna. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:378-394. 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 | |
| 2017 | Pair trading based on quantile forecasting of smooth transition GARCH models. (2017). Chen, Cathy W. S. ; Lee, Sang Yeol ; Sriboonchitta, Songsak ; Wang, Zona . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:38-55. 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 | |
| 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 | |
| 2018 | Diagnostic checking of Markov multiplicative error models. (2018). Guo, Bin ; Li, Shuo. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:139-142. Full description at Econpapers || Download paper | |
| 2017 | Inference and testing on the boundary in extended constant conditional correlation GARCH models. (2017). Pedersen, Rasmus. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:23-36. 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 | Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367. Full description at Econpapers || Download paper | |
| 2017 | Learning can generate long memory. (2017). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:1-9. 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 | |
| 2017 | Bootstrapping the GMM overidentification test under first-order underidentification. (2017). Gonalves, Silvia ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:43-71. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267. 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 | |
| 2018 | Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351. Full description at Econpapers || Download paper | |
| 2017 | Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, P S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84. 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 | 63 |
| 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: 63 | 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: 63 | article | |
| 2008 | Multivariate GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 63 |
| 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: 63 | paper | |
| 2008 | Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 18 |
| 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: 18 | 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: 18 | 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 | 16 |
| 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: 16 | 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: 16 | 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 | 38 |
| 2013 | Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
| 2011 | Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | 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 | 13 |
| 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: 13 | 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: 13 | article | |
| 2011 | Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 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: 6 | 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 | 18 |
| 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: 18 | 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 | 19 |
| 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 | 1 |
| 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 32 |
| 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: 32 | paper | |
| 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
| 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: 22 | 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 |
| 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 | 198 |
| 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: 198 | paper | |
| 2005 | Panel Smooth Transition Regression Models.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 198 | 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 |
| 2018 | Transition from the Taylor rule to the zero lower bound 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 | 88 |
| 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: 88 | paper | |
| 2006 | Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 50 |
| 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: 50 | paper | |
| 1993 | POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 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 | 0 |
| 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: 0 | 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 | 87 |
| 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: 87 | 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 | Comment on N. R. Ericsson, D. F. Hendry and K. M. Prestwich, The Demand for Broad Money in the United Kingdom, 1878-1993. In: Scandinavian Journal of Economics. [Full Text][Citation analysis] | article | 0 |
| 1985 | Modelling the Dynamic Relationship between Wages and Prices in Finland. In: Scandinavian Journal of Economics. [Citation analysis] | article | 2 |
| 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 | |
| 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 | 40 |
| 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: 40 | 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: 40 | 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 | 36 |
| 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: 36 | 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 | 29 |
| 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: 29 | 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: 29 | 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 | 105 |
| 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: 105 | 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 | 72 |
| 1999 | Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
| 1999 | Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
| 2006 | Common factors in conditional distributions for bivariate time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 38 |
| 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: 38 | 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 | 180 |
| 1996 | Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 370 |
| 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: 370 | 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 | 92 |
| 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: 92 | 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 | 21 |
| 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: 21 | paper | |
| 1994 | The combination of forecasts using changing weights In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 49 |
| 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 | 68 |
| 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: 68 | 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: 68 | 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 | 476 |
| 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: 476 | 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: 476 | 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 | 1 |
| 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 | 55 |
| 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: 55 | 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: 55 | 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 | 45 |
| 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: 45 | 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: 45 | 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 | 90 |
| 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: 90 | 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 | 36 |
| 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: 36 | 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: 36 | 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 | Fourth Moment Structure of the GARCH (p, q) Process In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 2 |
| 1997 | Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 2 |
| 1998 | Modelling asymmetries and moving equilibria in unemployment rates In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 121 |
| 1998 | A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 26 |
| 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 | 20 |
| 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: 20 | 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 | 18 |
| 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 | 9 |
| 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: 9 | 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 | 33 |
| 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: 33 | 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: 33 | paper | |
| 2002 | An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 0 |
| 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 | 42 |
| 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: 42 | 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 | 14 |
| 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 | 7 |
| 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 | 14 |
| 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: 14 | 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 | 462 |
| 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 | 181 |
| 2010 | Modelling Nonlinear Economic Time Series In: OUP Catalogue. [Citation analysis] | book | 36 |
| 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 | 6 |
| 2017 | A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 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 | 2 |
| 2013 | Financial sector and output dynamics in the euro area countries In: ZEW policy briefs. [Full Text][Citation analysis] | paper | 4 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team