Timo Teräsvirta : Citation Profile


Are you Timo Teräsvirta?

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

32

H index

58

i10 index

4266

Citations

RESEARCH PRODUCTION:

73

Articles

137

Papers

2

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   43 years (1976 - 2019). See details.
   Cites by year: 99
   Journals where Timo Teräsvirta has often published
   Relations with other researchers
   Recent citing documents: 240.    Total self citations: 94 (2.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pte1
   Updated: 2020-05-16    RAS profile: 2020-02-03    
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Relations with other researchers


Works with:

Silvennoinen, Annastiina (14)

Amado, Cristina (9)

Yang, Yukai (6)

Hurn, Stan (4)

Catani, Paul (2)

Gonzalez, Andres (2)

van Dijk, Dick (2)

Cho, Jin Seo (2)

Holt, Matthew (2)

Kock, Anders (2)

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

Is cited by:

Milas, Costas (84)

Mignon, Valérie (75)

Medeiros, Marcelo (69)

GUPTA, RANGAN (63)

Ubilava, David (59)

Balcilar, Mehmet (52)

Holt, Matthew (52)

JAWADI, Fredj (51)

Franses, Philip Hans (50)

Reitz, Stefan (50)

Zanetti Chini, Emilio (48)

Cites to:

Engle, Robert (71)

Bollerslev, Tim (42)

Granger, Clive (29)

Hansen, Bruce (26)

Amado, Cristina (23)

White, Halbert (21)

Silvennoinen, Annastiina (20)

Perron, Pierre (20)

Jagannathan, Ravi (19)

Saikkonen, Pentti (14)

Tse, Y. K. (13)

Main data


Where Timo Teräsvirta has published?


Journals with more than one article published# docs
Journal of Econometrics14
International Journal of Forecasting8
Econometric Reviews6
Journal of Applied Econometrics6
Journal of Time Series Analysis3
Econometrics Journal3
Journal of Financial Econometrics3
Econometric Theory3
Studies in Nonlinear Dynamics & Econometrics3
Empirical Economics2
Macroeconomic Dynamics2
Journal of Business & Economic Statistics2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
Discussion Papers / The Research Institute of the Finnish Economy6
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes5
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney5
Textos para discusso / Department of Economics PUC-Rio (Brazil)3
NCER Working Paper Series / National Centre for Econometric Research2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute2

Recent works citing Timo Teräsvirta (2020 and 2019)


YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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

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

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2019Insurance Policy Thresholds for Economic Growth in Africa. (2019). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/037.

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

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

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

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2019Non-linear finance-growth nexus for African countries: A panel smooth transition regression approach. (2019). Jobarteh, Mustapha ; Kaya, Huseyin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:3(620):p:205-222.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2017“Regional tourism demand forecasting with machine learning models: Gaussian process regression vs. neural network models in a multiple-input multiple-output setting”. (2017). Claveria, Oscar ; Monte, Enric ; Torra, Salvador. In: AQR Working Papers. RePEc:aqr:wpaper:201701.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson . In: Papers. RePEc:arx:papers:1708.07587.

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

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2019Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V. In: Papers. RePEc:arx:papers:1901.02419.

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2019A Bootstrap Test for the Existence of Moments for GARCH Processes. (2019). Heinemann, Alexander. In: Papers. RePEc:arx:papers:1902.01808.

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2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

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

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

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

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

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

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2020Can one hear the size of a target zone?. (2020). Rinaldo, Daniele ; Kumar, Shekhar Hari ; Hongler, Max-Olivier ; Arcand, Jean-Louis ; Jean - Louis Arcand, . In: Papers. RePEc:arx:papers:2002.00948.

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2020A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar. In: Papers. RePEc:arx:papers:2002.05319.

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

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

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

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2020Entendiendo, Modelando y Pronosticando el Efecto de “El Niño” Sobre los Precios de los Alimentos: El Caso Colombiano. (2020). Julio, Juan ; Cardenas-Cardenas, Julian Alonso ; Caicedo-Garcia, Edgar ; Julio-Roman, Juan Manuel ; Bejarano-Salcedo, Valeria. In: Borradores de Economia. RePEc:bdr:borrec:1102.

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2019REGIME DEPENDENT EFFECT OF OUTPUT GROWTH ON OUTPUT GROWTH UNCERTAINTY: EVIDENCE FROM OECD COUNTRIES. (2019). Sarkar, Nityananda ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:257-282.

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2019EFFECT OF OIL PRICES ON STOCK MARKETS: EVIDENCE FROM NEW GENERATION OF STAR MODEL. (2019). Abdelsalam, Mamdouh ; Abdelmoula, Mamdouh ; Harb, Nermeen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:466-482.

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

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

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2017WHEN ARE WAVELETS USEFUL FORECASTERS?. (2017). Yazgan, Ege ; Gencay, Ramazan. In: Working Papers. RePEc:bli:wpaper:1704.

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2017Uncertainty and monetary policy in good and bad times. (2017). Nodari, Gabriela ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_008.

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

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2017Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach. (2017). JAWADI, Fredj ; Souhir, Chlibi ; Mohamed, Sellami ; Fredj, Jawadi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:47-63:n:5.

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

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

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

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

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

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

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

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2019The accuracy of asymmetric GARCH model estimation. (2019). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: International Economics. RePEc:cii:cepiie:2019-q1-157-11.

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

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2019Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013.

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

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2019Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:29030.

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2019Nonlinear Effects of Military Spending on Economic Growth in Sub-Saharan Africa. (2019). Dunne, John ; Makanza, Christine S. In: School of Economics Macroeconomic Discussion Paper Series. RePEc:ctn:dpaper:2019-04.

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2019Determinants of investments in solar photovoltaic: Do oil prices really matter?. (2019). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Escoffier, Margaux. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-28.

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

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

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

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

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2019Real exchange rate misalignments in CEECs: have they hindered growth?. (2019). Regis, Paulo ; Cuestas, Juan ; Mourelle, Estefania . In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2018-05.

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

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2019Stock and bond returns correlation in Korea: Local versus global risk during crisis periods. (2019). Ho, Young ; Fang, Zhongzheng ; Park, Keehwan. In: Journal of Asian Economics. RePEc:eee:asieco:v:65:y:2019:i:c:s1049007818303282.

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

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2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61.

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2020The effects of conventional and unconventional monetary policy on forecasting the yield curve. (2020). Eo, Yunjong ; Ho, Kyu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930209x.

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2017Structural vector autoregressions with smooth transition in variances. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:43-57.

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2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

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

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

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2019On 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.

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2019Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. (2019). Wang, Jinghua ; Kim, Yea Lee ; Ngene, Geoffrey M. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:136-147.

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2018Public 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.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019Nonlinear exchange rate pass-through in timber products: The case of oriented strand board in Canada and the United States. (2019). Goodwin, Barry ; Prestemon, Jeffrey P ; Holt, Matthew T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818303802.

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2019Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence. (2019). Wu, An-Chi ; Chen, Shyh-Wei ; Xie, Zixiong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305849.

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2019Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. (2019). Su, Xianfang ; Jiang, Yong ; Kuang, Yuanpei ; Lin, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300968.

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2017Economic 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.

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2018State-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.

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2019Smooth transitions across latitudes and longitudes: An application of a nonlinear panel regression to the climate—economics nexus. (2019). Villoria, Nelson ; Ubilava, David ; Tack, Jesse. In: Economics Letters. RePEc:eee:ecolet:v:182:y:2019:i:c:p:114-117.

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2017Medium 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.

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2017Quasi-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.

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2018Bayesian 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.

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2018Asymptotics 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.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2019To tell the truth or the perceived truth: Structural estimation of peer effects in China’s macroeconomic forecast. (2019). Li, Feiyue ; Geng, Hao ; Lv, Yuxia ; Hou, Linke. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:2:9.

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2019Structural combination of seasonal exponential smoothing forecasts applied to load forecasting. (2019). de Menezes, Lilian M ; Rendon-Sanchez, Juan F. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:3:p:916-924.

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2018Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets. (2018). Ngene, Geoffrey ; Mungai, Ann N ; Post, Jordin A. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:181-198.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2019A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2017The impact of the German response to the Fukushima earthquake. (2017). Waterson, Michael ; Grossi, Luigi ; Heim, Sven. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:450-465.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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2018Understanding the US natural gas market: A Markov switching VAR approach. (2018). Hou, Chenghan ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:42-53.

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2019Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model. (2019). Wang, Shixuan ; Gözgör, Giray ; Apergis, Nicholas ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:129-142.

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2019Oil price collapse and challenges to economic transformation of Saudi Arabia: A time-series analysis. (2019). JAWADI, Fredj ; Ftiti, Zied. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:12-19.

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2019Asymmetric reactions of the US natural gas market and economic activity. (2019). Okimoto, Tatsuyoshi ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:86-99.

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2019Can expanding natural gas consumption reduce Chinas CO2 emissions?. (2019). Lin, Boqiang ; Xu, Bin. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:393-407.

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2019Leverage effect in energy futures revisited. (2019). Carnero, M. Angeles ; Perez, Ana. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:237-252.

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2019Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies. (2019). Tiwari, Aviral ; Demirer, Riza ; Albulescu, Claudiu ; Raheem, Ibrahim D. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:375-388.

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2019Calculating the damage of a cartel subject to transition periods: The international uranium cartel in the 1970s. (2019). Söderberg, Magnus ; Soderberg, Magnus ; Sandberg, Rickard ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302683.

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2019How does financial development affect energy consumption? Evidence from 21 transitional countries. (2019). Chen, Hongtao ; Shen, Yongchang ; Lu, Rou ; Yue, Shujing . In: Energy Policy. RePEc:eee:enepol:v:130:y:2019:i:c:p:253-262.

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2019How does the capacity utilization of thermal power generation affect pollutant emissions? Evidence from the panel data of Chinas provinces. (2019). Komonpipat, Supak ; Yan, Weilong ; Wang, Yongpei. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:440-451.

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2019Time of day effects of temperature and daylight on short term electricity load. (2019). Perez Garcia, Julian ; Perez-Garcia, Julian ; Moral-Carcedo, Julian. In: Energy. RePEc:eee:energy:v:174:y:2019:i:c:p:169-183.

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2019Revisiting and revising the energy-growth nexus: A non-linear modeling analysis. (2019). Tiba, Sofien. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:667-675.

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2019Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x.

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2017Cross-financial-market correlations and quantitative easing. (2017). Zhang, Jie ; Zhong, Rui ; Kryzanowski, Lawrence. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:13-21.

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More than 100 citations found, this list is not complete...

Timo Teräsvirta has edited the books:


YearTitleTypeCited

Works by Timo Teräsvirta:


YearTitleTypeCited
2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers.
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paper67
2007Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 67
article
2008Multivariate GARCH models In: CREATES Research Papers.
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paper65
2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 65
paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
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paper19
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 19
article
2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 19
paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers.
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paper22
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 22
paper
2008Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers.
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paper22
2013Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form.(2013) In: Post-Print.
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This paper has another version. Agregated cites: 22
paper
2012Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form.(2012) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 22
paper
2009Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers.
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paper10
2011Forecasting inflation with gradual regime shifts and exogenous information.(2011) In: Working Paper Series.
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This paper has another version. Agregated cites: 10
paper
2010Forecasting with nonlinear time series models In: CREATES Research Papers.
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paper13
2011Modelling Volatility by Variance Decomposition In: CREATES Research Papers.
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paper42
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 42
article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 42
paper
2011Nonlinear models for autoregressive conditional heteroskedasticity In: CREATES Research Papers.
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paper1
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations In: CREATES Research Papers.
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paper15
2011Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations.(2011) In: NIPE Working Papers.
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paper
2014Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 15
article
2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers.
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paper7
2016Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques.(2016) In: Econometric Reviews.
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This paper has another version. Agregated cites: 7
article
2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers.
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paper8
2014Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009.(2014) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 8
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
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paper25
2014Modelling changes in the unconditional variance of long stock return series.(2014) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 25
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series.(2012) In: NIPE Working Papers.
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paper
2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
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paper19
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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article
2012Unit roots, nonlinearities and structural breaks In: CREATES Research Papers.
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paper4
2013Unit roots, non-linearities and structural breaks.(2013) In: Chapters.
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chapter
2012Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis In: CREATES Research Papers.
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paper2
2013Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers.
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paper22
2014A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model In: CREATES Research Papers.
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paper2
2017A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model.(2017) In: Econometric Reviews.
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This paper has another version. Agregated cites: 2
article
2014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers.
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paper36
2014Linearity and misspecification tests for vector smooth transition regression models.(2014) In: CORE Discussion Papers.
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paper
2014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers.
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paper23
2014Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: CORE Discussion Papers.
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paper
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market In: CREATES Research Papers.
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paper6
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market.(2014) In: NCER Working Paper Series.
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paper
2016A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market.(2016) In: Journal of Applied Econometrics.
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article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
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paper1
2016Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2016) In: Studies in Nonlinear Dynamics & Econometrics.
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article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests.(2015) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 1
paper
2017Sir Clive Grangers contributions to nonlinear time series and econometrics In: CREATES Research Papers.
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paper0
2017Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis In: CREATES Research Papers.
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paper0
2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis.(2020) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 0
article
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers.
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paper1
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
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paper0
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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paper
2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
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This paper has another version. Agregated cites: 0
article
2017Nonlinear models in macroeconometrics In: CREATES Research Papers.
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paper0
2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
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paper273
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 273
paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 273
paper
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
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paper1
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
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This paper has another version. Agregated cites: 1
paper
2018The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 In: CREATES Research Papers.
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paper0
2019The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016.(2019) In: Econometrics and Statistics.
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This paper has another version. Agregated cites: 0
article
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
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paper1
2019Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model In: CREATES Research Papers.
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paper0
2019Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model.(2019) In: Working papers.
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paper
2019Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: CREATES Research Papers.
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paper0
2019Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: CREATES Research Papers.
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paper0
2006Modelling autoregressive processes with a shifting mean In: Borradores de Economia.
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2008Modelling Autoregressive Processes with a Shifting Mean.(2008) In: Studies in Nonlinear Dynamics & Econometrics.
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2006Modelling autoregressive processes with a shifting mean.(2006) In: BORRADORES DE ECONOMIA.
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2007Modelling autoregressive processes with a shifting mean.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
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article93
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 93
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2006Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics.
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article51
2004Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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1993POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis.
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1999Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints In: Journal of Time Series Analysis.
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1997Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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1985MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS In: Journal of Time Series Analysis.
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1996Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics.
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1995Testing Parameter Constancy and super Exogeneity in Econometric Equations.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Simulation‐based Finite Sample Linearity Test against Smooth Transition Models* In: Oxford Bulletin of Economics and Statistics.
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2005Simulation-based finite-sample linearity test against smooth transition models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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1998Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993” In: Scandinavian Journal of Economics.
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1996Power Properties of Linearity Tests for Time Series In: Studies in Nonlinear Dynamics & Econometrics.
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1996Power Properties of Linearity Tests for Time Series.(1996) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series.
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1981Some results on improving the least squares estimation of linear models by mixed estimation In: CORE Discussion Papers RP.
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1999FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS In: Econometric Theory.
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2002MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS In: Econometric Theory.
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2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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1998A simple nonlinear time series model with misleading linear properties.(1998) In: SSE/EFI Working Paper Series in Economics and Finance.
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2007Testing constancy of the error covariance matrix in vector models In: Journal of Econometrics.
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1987Usefulness of proxy variables in linear models with stochastic regressors In: Journal of Econometrics.
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1996Short-term forecasting of industrial production with business survey data: experience from Finlands great depression 1990-1993 In: International Journal of Forecasting.
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1997The International Institute of Forecasters Award for the Best Forecasting Paper In: International Journal of Forecasting.
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