26
H index
48
i10 index
3311
Citations
Timo Teräsvirta : Citation Profile
Aarhus Universitet | RESEARCH PRODUCTION: 60 Articles 120 Papers 2 Books 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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40 years (1976 - 2016). 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 (2017 and 2016)
| Year | Title of citing document | |
|---|---|---|
| 2016 | Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01. Full description at Econpapers || Download paper | |
| 2016 | On the Economics of Commodity Price Dynamics and Price Volatility. (2016). Chavas, Jean-Paul ; Li, Jian . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235070. 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 | |
| 2016 | FX Options in Target Zone. (2016). Carr, Peter ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1512.01527. Full description at Econpapers || Download paper | |
| 2016 | Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models. (2016). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth . In: Papers. RePEc:arx:papers:1602.05323. Full description at Econpapers || Download paper | |
| 2016 | Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach. (2016). Pinz, Kathia . In: Papers. RePEc:arx:papers:1611.05288. Full description at Econpapers || Download paper | |
| 2016 | Stylized Facts and Simulating Long Range Financial Data. (2016). Davies, Laurie ; Kramer, Walter . In: Papers. RePEc:arx:papers:1612.05229. 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 | 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 | |
| 2016 | Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach. (2016). RodrÃguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto . In: Borradores de Economia. RePEc:bdr:borrec:930. Full description at Econpapers || Download paper | |
| 2016 | Nonlinearities of mortgage spreads over the business cycles. (2016). Cheng, Chak Hung Jack ; Chiu, Ching-Wai (Jeremy) ; Jack, Chak Hung . In: Bank of England working papers. RePEc:boe:boeewp:0634. Full description at Econpapers || Download paper | |
| 2017 | Uncertainty and monetary policy in good and bad times. (2017). Caggiano, Giovanni ; Nodari, Gabriela ; Castelnuovo, Efrem . In: Research Discussion Papers. RePEc:bof:bofrdp:2017_008. Full description at Econpapers || Download paper | |
| 2016 | Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector. (2016). Ericsson, Neil ; Neil, Ericsson . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:377-398:n:6. Full description at Econpapers || Download paper | |
| 2017 | Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach. (2017). JAWADI, Fredj ; Mohamed, Sellami ; Fredj, Jawadi ; Souhir, Chlibi . 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 | |
| 2016 | Is Aid Unfriendly to Tax? African Evidence of Heterogeneous Direct and Indirect Effects. (2016). Yohou, Djedje Hermann ; Laporte, Bertrand ; goujon, michael ; Guerineau, Samuel . In: Working Papers. RePEc:cdi:wpaper:1811. Full description at Econpapers || Download paper | |
| 2016 | Stylized Facts and Simulating Long Range Financial Data. (2016). Krämer, Walter ; Kraemer, Walter ; Davies, Laurie . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5796. Full description at Econpapers || Download paper | |
| 2016 | A Neglected Semi-Stylized Fact of Daily Stock Returns. (2016). Krämer, Walter ; Kraemer, Walter ; Davies, Laurie . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5806. Full description at Econpapers || Download paper | |
| 2016 | Updated Reference Forecasts for Global CO2 Emissions from Fossil-Fuel Consumption. (2016). Pereira, Alfredo ; Belbute, Jose . In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2016_08. Full description at Econpapers || Download paper | |
| 2016 | On the impact of dollar movements on oil currencies. (2016). Gomes, Gabriel. In: Working Papers. RePEc:cii:cepidt:2016-11. Full description at Econpapers || Download paper | |
| 2016 | Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach. (2016). RodrÃguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto . In: BORRADORES DE ECONOMIA. RePEc:col:000094:014299. Full description at Econpapers || Download paper | |
| 2016 | A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Bauwens, Luc ; Augustyniak, Maciej ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2016042. 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 | |
| 2016 | Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436. Full description at Econpapers || Download paper | |
| 2017 | The Reaction of Stock Market Returns to Unemployment. (2017). Gonzalo, Jesus ; Taamouti, Abderrahim . In: UC3M Working papers. Economics. RePEc:cte:werepe:24120. Full description at Econpapers || Download paper | |
| 2016 | Reassessing the empirical relationship between the oil price and the dollar. (2016). Mignon, Valérie ; Coudert, Virginie. In: EconomiX Working Papers. RePEc:drm:wpaper:2016-2. 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 | |
| 2016 | Time-Varying VAR with Stochastic Volatility and Monetary Policy Dynamics in Nigeria. (2016). Abdullahi, Bala Dahiru . In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00603. Full description at Econpapers || Download paper | |
| 2016 | Attractor misspecification and threshold estimation bias. (2016). Norman, Stephen . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00104. 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 | |
| 2016 | Non-Linear Modelling of Money Demand in Tunisia: Evidence from the STAR Model. (2016). HAMDI, Helmi ; Mgadmi, Nidhal ; Rachdi, Houssem . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00659. Full description at Econpapers || Download paper | |
| 2017 | Modeling nonlinear water demand : The case of Tunisia. (2017). Ben Cheikh, Nidhaleddine ; Younes, Ben Zaied ; Nguyen, Pascal ; ben Zaied, Younes . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00022. 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 | |
| 2016 | Correlation changes between the risk-free rate and sovereign yields of euro area countries. (2016). De Santis, Roberto ; Stein, Michael ; Desantis, Roberto . In: Working Paper Series. RePEc:ecb:ecbwps:20161979. Full description at Econpapers || Download paper | |
| 2016 | Forecast of Employment in Switzerland: The Macroeconomic View. (2016). Toth, Daniel ; Anova, Petra ; Rezbova, Helena ; Redl, Karel ; Maitah, Mansoor . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-17. Full description at Econpapers || Download paper | |
| 2016 | Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. (2016). Gyamfi, Emmanuel Numapau ; Kyei, Kwabena A. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-49. Full description at Econpapers || Download paper | |
| 2016 | The Asymmetric Effects of Oil Price Shocks on the Canadian Economy. (2016). Wilmot, Neil ; Donayre, Luiggi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-02-4. Full description at Econpapers || Download paper | |
| 2016 | Nonlinear and time-varying growth-tourism causality. (2016). Liu, Shiao-Yen ; Wu, Po-Chin ; Huang, Tsai-Yuan ; Hsiao, Juei-Ming . In: Annals of Tourism Research. RePEc:eee:anture:v:59:y:2016:i:c:p:45-59. Full description at Econpapers || Download paper | |
| 2016 | Oil price and exchange rate in India: Fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests. (2016). Tiwari, Aviral ; Albulescu, Claudiu. In: Applied Energy. RePEc:eee:appene:v:179:y:2016:i:c:p:272-283. Full description at Econpapers || Download paper | |
| 2016 | The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185. Full description at Econpapers || Download paper | |
| 2016 | Testing for the number of states in hidden Markov models. (2016). Holzmann, Hajo ; Schwaiger, Florian . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:318-330. Full description at Econpapers || Download paper | |
| 2016 | Robust closed-form estimators for the integer-valued GARCH (1,1) model. (2016). Li, QI ; Zhu, Fukang ; Lian, Heng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:101:y:2016:i:c:p:209-225. Full description at Econpapers || Download paper | |
| 2016 | Diagnostic checking of the vector multiplicative error model. (2016). Ng, F C ; Li, W K. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:86-97. Full description at Econpapers || Download paper | |
| 2016 | A note on the cyclical behavior of sectoral employment in the U.S.. (2016). Nath, Hiranya. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:50:y:2016:i:c:p:52-61. Full description at Econpapers || Download paper | |
| 2016 | The role of savings rate in exchange rate and trade imbalance nexus: Cross-countries evidence. (2016). Chiu, Yi-Bin ; Sun, Chia-Hung D. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:1017-1025. Full description at Econpapers || Download paper | |
| 2016 | Reexamining the relationship between inflation and growth: Do institutions matter in developing countries?. (2016). Trupkin, Danilo ; Ibarra, Raul. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:332-351. Full description at Econpapers || Download paper | |
| 2016 | Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined. (2016). Sandberg, Rickard . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:699-713. Full description at Econpapers || Download paper | |
| 2016 | Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). CHARFEDDINE, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374. Full description at Econpapers || Download paper | |
| 2016 | Long memory and structural change in the G7 inflation dynamics. (2016). Belkhouja, Mustapha ; Mootamri, Imene . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:450-462. Full description at Econpapers || Download paper | |
| 2016 | A multiple threshold analysis of the Feds balancing act during the Great Moderation. (2016). Ahmad, Saad . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:343-358. Full description at Econpapers || Download paper | |
| 2016 | Stock market liquidity and economic cycles: A non-linear approach. (2016). Switzer, Lorne ; Picard, Alan . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:106-119. 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 | |
| 2016 | Re-examining risk premiums in the Fama–French model: The role of investor sentiment. (2016). Wu, Po-Chin ; Chen, Che-Ying ; Liu, Shiao-Yen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:154-171. Full description at Econpapers || Download paper | |
| 2016 | Globalization and insurance activity: Evidence on the industrial and emerging countries. (2016). Lee, Chien-Chiang ; Chiu, Yi-Bin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:328-349. Full description at Econpapers || Download paper | |
| 2016 | The effect of investors’ confidence on monetary policy transmission mechanism. (2016). Guerello, Chiara. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:248-266. Full description at Econpapers || Download paper | |
| 2016 | Linear and nonlinear dynamic relationships between housing prices and trading volumes. (2016). I-Chun Tsai, ; Peng, Chien-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:38:y:2016:i:c:p:172-184. Full description at Econpapers || Download paper | |
| 2017 | Pair trading based on quantile forecasting of smooth transition GARCH models. (2017). Chen, Cathy W. S. ; Lee, Sangyeol ; 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 | |
| 2016 | A unit root test against globally stationary ESTAR models when local condition is non-stationary. (2016). Hu, Junjuan ; Chen, Zhenlong . In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:89-94. Full description at Econpapers || Download paper | |
| 2016 | Wild bootstrap Ljung–Box test for cross correlations of multivariate time series. (2016). Lee, Taewook . In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:59-62. Full description at Econpapers || Download paper | |
| 2017 | Economic policy uncertainty and unemployment in the United States: A nonlinear approach. (2017). Figueres, Juan ; Caggiano, Giovanni ; Castelnuovo, Efrem . In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:31-34. Full description at Econpapers || Download paper | |
| 2016 | ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271. Full description at Econpapers || Download paper | |
| 2016 | Root-T consistent density estimation in GARCH models. (2016). Delaigle, Aurore ; Rombouts, Jeroen ; Meister, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:55-63. Full description at Econpapers || Download paper | |
| 2016 | Inference on co-integration parameters in heteroskedastic vector autoregressions. (2016). Taylor, Robert ; Cavaliere, Giuseppe ; Boswijk, H. Peter ; Robert, A M ; Rahbek, Anders . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:64-85. Full description at Econpapers || Download paper | |
| 2016 | Modeling covariance breakdowns in multivariate GARCH. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:1-23. 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). Chevillon, Guillaume ; Mavroeidis, Sophocles . 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). 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 | Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, Paul. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84. Full description at Econpapers || Download paper | |
| 2016 | Nonlinear monetary policy and macroeconomic stabilization in emerging market economies: Evidence from China. (2016). Ma, Yong . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:3:p:461-480. Full description at Econpapers || Download paper | |
| 2017 | European Exchange Trading Funds Trading with Locally Weighted Support Vector Regression. (2017). Sermpinis, Georgios ; De la Fuente, David ; Rosillo, Rafael ; Stasinakis, Charalampos . In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:1:p:372-384. Full description at Econpapers || Download paper | |
| 2017 | Nonlinear manifold learning for early warnings in financial markets. (2017). Peng, YI ; Huang, Yan ; Kou, Gang . In: European Journal of Operational Research. RePEc:eee:ejores:v:258:y:2017:i:2:p:692-702. Full description at Econpapers || Download paper | |
| 2016 | Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67. Full description at Econpapers || Download paper | |
| 2016 | A test of asymmetric comovement for state-dependent stock returns. (2016). Deng, Kaihua . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:68-85. Full description at Econpapers || Download paper | |
| 2016 | Dynamic asymmetries in house price cycles: A generalized smooth transition model. (2016). Zanetti Chini, Emilio ; Canepa, Alessandra. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:91-103. Full description at Econpapers || Download paper | |
| 2016 | Monitoring multivariate variance changes. (2016). Galeano, Pedro ; Pape, Katharina ; Wied, Dominik . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68. Full description at Econpapers || Download paper | |
| 2017 | Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173. Full description at Econpapers || Download paper | |
| 2016 | Volatility linkages between energy and agricultural commodity prices. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:190-203. Full description at Econpapers || Download paper | |
| 2016 | Modeling and forecasting multivariate electricity price spikes. (2016). Eichler, Michael ; Manner, Hans ; Turk, Dennis . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:255-265. Full description at Econpapers || Download paper | |
| 2016 | Reassessing the empirical relationship between the oil price and the dollar. (2016). Mignon, Valérie ; Coudert, Virginie . In: Energy Policy. RePEc:eee:enepol:v:95:y:2016:i:c:p:147-157. Full description at Econpapers || Download paper | |
| 2016 | A grey neural network and input-output combined forecasting model. Primary energy consumption forecasts in Spanish economic sectors. (2016). Liu, Xiuli ; Garcia, Ana Salome ; Moreno, Blanca . In: Energy. RePEc:eee:energy:v:115:y:2016:i:p1:p:1042-1054. Full description at Econpapers || Download paper | |
| 2016 | Will the crisis “tear us apart”? Evidence from the EU. (2016). Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360. Full description at Econpapers || Download paper | |
| 2016 | Debt-threshold effect in sovereign credit ratings: New evidence from nonlinear panel smooth transition models. (2016). Ben Cheikh, Nidhaleddine ; ben Hmiden, Oussama . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:273-278. Full description at Econpapers || Download paper | |
| 2017 | Cross-financial-market correlations and quantitative easing. (2017). Zhang, Jie ; Zhong, Rui ; Kryzanowski, Lawrence . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:13-21. Full description at Econpapers || Download paper | |
| 2016 | Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. (2016). Muradoglu, Yaz ; Mobarek, Asma ; Jun, AI ; Mollah, Sabur . In: Journal of Financial Stability. RePEc:eee:finsta:v:24:y:2016:i:c:p:1-11. Full description at Econpapers || Download paper | |
| 2016 | Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach. (2016). GUPTA, RANGAN ; van Eyden, Renee ; Balcilar, Mehmet ; Thompson, Kirsten . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:30-43. Full description at Econpapers || Download paper | |
| 2016 | Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9. Full description at Econpapers || Download paper | |
| 2016 | Nonlinear forecasting with many predictors using kernel ridge regression. (2016). van Dijk, Dick ; Exterkate, Peter ; Heij, Christiaan ; Patrick, . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:736-753. Full description at Econpapers || Download paper | |
| 2016 | Cross-validation aggregation for combining autoregressive neural network forecasts. (2016). Barrow, Devon K ; Crone, Sven F. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1120-1137. Full description at Econpapers || Download paper | |
| 2016 | Modeling the impact of forecast-based regime switches on US inflation. (2016). Bel, Koen ; Paap, Richard . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1306-1316. Full description at Econpapers || Download paper | |
| 2017 | The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe. (2017). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:24-37. Full description at Econpapers || Download paper | |
| 2016 | Asymmetric cost pass-through? Empirical evidence on the role of market power, search and menu costs. (2016). Weiss, Christoph ; Glauben, Thomas ; Loy, Jens-Peter . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:123:y:2016:i:c:p:184-192. Full description at Econpapers || Download paper | |
| 2016 | Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015. (2016). Lera, Sandro Claudio ; Sornette, Didier . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:63:y:2016:i:c:p:28-47. Full description at Econpapers || Download paper | |
| 2016 | State-dependent exchange rate pass-through behavior. (2016). Donayre, Luiggi ; Panovska, Irina . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:64:y:2016:i:c:p:170-195. Full description at Econpapers || Download paper | |
| 2016 | Commodity returns co-movements: Fundamentals or “style” effect?. (2016). Moussa, Zakaria ; Darné, Olivier ; Darne, Olivier ; Charlot, Philippe . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:130-160. Full description at Econpapers || Download paper | |
| 2017 | Debt thresholds and real exchange rates: An emerging markets perspective. (2017). Velic, Adnan ; Galstyan, Vahagn. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:452-470. Full description at Econpapers || Download paper | |
| 2017 | “Conditional PPP” and real exchange rate convergence in the euro area. (2017). Bergin, Paul R ; Wu, Jyh-Lin ; Glick, Reuven . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:78-92. Full description at Econpapers || Download paper | |
| 2016 | Nonlinearities in the U.S. wage Phillips curve. (2016). Donayre, Luiggi ; Panovska, Irina . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:48:y:2016:i:c:p:19-43. 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 | 55 |
| 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: 55 | 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: 55 | article | |
| 2008 | Multivariate GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 57 |
| 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: 57 | paper | |
| 2008 | Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
| 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: 15 | 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: 15 | 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 | 15 |
| 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: 15 | paper | |
| 2009 | Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
| 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: 9 | paper | |
| 2010 | Forecasting with nonlinear time series models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
| 2011 | Modelling Volatility by Variance Decomposition In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 27 |
| 2013 | Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
| 2011 | Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | 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 | 7 |
| 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: 7 | 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: 7 | article | |
| 2011 | Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 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: 7 | article | |
| 2012 | Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
| 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: 20 | 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: 20 | paper | |
| 2012 | Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
| 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: 13 | article | |
| 2012 | Unit roots, nonlinearities and structural breaks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 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 | 10 |
| 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 | 23 |
| 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: 23 | paper | |
| 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 17 |
| 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: 17 | 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 | 2 |
| 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: 2 | 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: 2 | article | |
| 2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 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: 0 | 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: 0 | paper | |
| 2006 | Modelling autoregressive processes with a shifting mean In: Borradores de Economia. [Full Text][Citation analysis] | paper | 8 |
| 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: 8 | 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: 8 | 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: 8 | paper | |
| 2003 | Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 74 |
| 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: 74 | paper | |
| 2006 | Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 42 |
| 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: 42 | paper | |
| 1996 | Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 81 |
| 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: 81 | 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 | |
| Some results on improving the least squares estimation of linear models by mixed estimation In: CORE Discussion Papers RP. [Citation analysis] | paper | 0 | |
| 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 | 35 |
| 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: 35 | 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: 35 | 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 | 25 |
| 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: 25 | 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 | 23 |
| 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: 23 | 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: 23 | paper | |
| 2006 | A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal. [Full Text][Citation analysis] | article | 9 |
| 1986 | Aspects of modelling nonlinear time series In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 3 |
| 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 | 100 |
| 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: 100 | 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 | 65 |
| 1999 | Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 65 | paper | |
| 1999 | Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | paper | |
| 2006 | Common factors in conditional distributions for bivariate time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 37 |
| 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: 37 | 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 | 164 |
| 1996 | Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 346 |
| 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: 346 | 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 | 75 |
| 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: 75 | 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 | 16 |
| 0 | Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models.(0) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 1994 | The combination of forecasts using changing weights In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 47 |
| 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 | 3 |
| 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 | 56 |
| 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: 56 | 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: 56 | 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 |
| 2013 | Unit roots, non-linearities and structural breaks In: Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 2000 | Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 404 |
| 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: 404 | 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: 404 | 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 | 0 |
| 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 | 52 |
| 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: 52 | 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: 52 | 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 | 82 |
| 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: 82 | 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 | 30 |
| 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: 30 | 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: 30 | 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 | Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 0 |
| 1997 | Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 3 |
| 1998 | Modelling asymmetries and moving equilibria in unemployment rates In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 106 |
| 1998 | A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 23 |
| 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 | 12 |
| 2000 | A simple variable selection technique for nonlinear models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 14 |
| 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: 14 | 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 | 6 |
| 1999 | THE NET BARTER TERMS OF TRADE : A SMOOTH TRANSITION APPROACH In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 5 |
| 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: 5 | 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 | 6 |
| 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: 6 | paper | |
| 2000 | Forecasting with smooth transition autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 2 |
| 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 | 9 |
| 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: 9 | 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 | 32 |
| 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: 32 | 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: 32 | 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 | 13 |
| 2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 40 |
| 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: 40 | 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 | 13 |
| 2005 | Univariate nonlinear time series models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 1 |
| 2005 | Panel Smooth Transition Regression Models In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 155 |
| 2005 | Panel Smooth Transition Regression Models.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 155 | paper | |
| 2006 | An introduction to univariate GARCH models In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 6 |
| 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 | 13 |
| 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: 13 | 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 | 419 |
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| 1993 | Modelling Non-Linear Economic Relationships In: OUP Catalogue. [Citation analysis] | book | 156 |
| 2010 | Modelling Nonlinear Economic Time Series In: OUP Catalogue. [Citation analysis] | book | 25 |
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| 1988 | Testing Linearity of Economic Time Series against Cyclical A symmetry In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 4 |
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