Timo Teräsvirta : Citation Profile


Are you Timo Teräsvirta?

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

36

H index

68

i10 index

5778

Citations

RESEARCH PRODUCTION:

79

Articles

139

Papers

2

Books

5

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   47 years (1976 - 2023). See details.
   Cites by year: 122
   Journals where Timo Teräsvirta has often published
   Relations with other researchers
   Recent citing documents: 98.    Total self citations: 98 (1.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pte1
   Updated: 2024-01-16    RAS profile: 2023-12-05    
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Relations with other researchers


Works with:

Cho, Jin Seo (3)

Hall, Anthony (2)

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

Is cited by:

Mignon, Valérie (113)

Medeiros, Marcelo (89)

Milas, Costas (88)

GUPTA, RANGAN (76)

Balcilar, Mehmet (71)

Zanetti Chini, Emilio (69)

Ubilava, David (64)

JAWADI, Fredj (61)

Reitz, Stefan (60)

van Dijk, Dick (58)

Holt, Matthew (58)

Cites to:

Engle, Robert (96)

Bollerslev, Tim (70)

Amado, Cristina (59)

Silvennoinen, Annastiina (44)

Jagannathan, Ravi (32)

Hansen, Bruce (31)

Perron, Pierre (27)

Tse, Y. K. (19)

Bauwens, Luc (18)

Sentana, Enrique (17)

van Dijk, Dick (17)

Main data


Where Timo Teräsvirta has published?


Journals with more than one article published# docs
Journal of Econometrics14
International Journal of Forecasting8
Econometric Reviews7
Journal of Applied Econometrics6
Studies in Nonlinear Dynamics & Econometrics4
Econometrics Journal3
Econometric Theory3
The Journal of Financial Econometrics3
Journal of Time Series Analysis3
Oxford Bulletin of Economics and Statistics2
Journal of Business & Economic Statistics2
Econometrics2
Energy Economics2
Empirical Economics2
Macroeconomic Dynamics2

Working Papers Series with more than one paper published# docs
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics57
Discussion Papers / The Research Institute of the Finnish Economy6
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes5
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney4
Textos para discusso / Department of Economics PUC-Rio (Brazil)3
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
NCER Working Paper Series / National Centre for Econometric Research2

Recent works citing Timo Teräsvirta (2024 and 2023)


YearTitle of citing document
2023.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

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2023Artificial neural networks and time series of counts: A class of nonlinear INGARCH models. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2304.01025.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

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

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2023Regressing on distributions: The nonlinear effect of temperature on regional economic growth. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2309.10481.

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2023Deep Calibration of Market Simulations using Neural Density Estimators and Embedding Networks. (2023). Vytelingum, Perukrishnen ; Chen, Tao ; Zhu, Dingqiu ; Zhang, Jianfei ; Lyon, Justin ; Baggott, Rory ; Stillman, Namid R. In: Papers. RePEc:arx:papers:2311.11913.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Stock Returns Under Different Market Regimes: An Application of Markov Switching Models to 24 European Indices. (2023). Gerunov, Anton. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:1:p:18-35.

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2023Microstructure and asset pricing: An insight on African frontier stock markets. (2023). Nchofoung, Tii ; Hikouatcha, Prince ; Tchoffo, Pierre Ghislain ; Bidias, Hans Patrick ; Njamen, Arsene Aurelien. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:944-987.

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2023Recent developments of the autoregressive distributed lag modelling framework. (2023). Cho, Jin Seo ; Shin, Yongcheol ; Greenwoodnimmo, Matthew. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:7-32.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023Exploring Okuns law asymmetry: An endogenous threshold logistic smooth transition regression approach. (2023). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158.

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2023Explosive Temperatures. (2023). Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10680.

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2023Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes. (2023). Frankel, Jeffrey. In: CID Working Papers. RePEc:cid:wpfacu:429.

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2023On the growth rate of superadditive processes and the stability of functional GARCH models. (2023). Kandji, Baye Matar. In: Working Papers. RePEc:crs:wpaper:2023-07.

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2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

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2023An ensemble neural network approach to forecast Dengue outbreak based on climatic condition. (2023). Ghosh, Indrajit ; Nadim, Sk Shahid ; Chakraborty, Tanujit ; Panja, Madhurima ; Liu, Nan ; Kumar, Uttam. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:167:y:2023:i:c:s0960077923000255.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377.

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2023Seasonality in High Frequency Time Series. (2023). Proietti, Tommaso ; Pedregal, Diego J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:62-82.

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2023Oil dependence and entrepreneurship: Non-linear evidence. (2023). Ondoa, Henri Atangana ; Efogo, Franoise Okah ; Awoa, Paul Awoa. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:1:s0939362522001212.

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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2023Household indebtedness, financial frictions and the transmission of monetary policy to consumption: Evidence from China. (2023). Funke, Michael ; Zhong, Doudou ; Li, Xiang. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000917.

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2023Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. (2023). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596.

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2023Energy inflation and consumption inequality. (2023). Pizzuto, Pietro ; Furceri, Davide ; Loungani, Prakash ; Estefania-Flores, Julia ; Bettarelli, Luca. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003213.

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2023Investigating the dynamics of crude oil and clean energy markets in times of geopolitical tensions. (2023). ben Zaied, Younes ; ben Cheikh, Nidhaleddine. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003596.

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2023Oil price uncertainty and unemployment dynamics: Nonlinearities matter. (2023). Kishan, Ruby P ; Farah, Quazi Fidia ; Ahmed, Iqbal M. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003043.

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2023Energy substitution in Africa: Cross-regional differentiation effects. (2023). Tinta, Abdoulganiour Almame. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pa:s0360544222024719.

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2023Can green tax policy promote Chinas energy transformation?— A nonlinear analysis from production and consumption perspectives. (2023). Tian, Lixin ; Yin, Weijun ; Yang, Kun ; Chen, Gang ; Fang, Guochang. In: Energy. RePEc:eee:energy:v:269:y:2023:i:c:s0360544223002128.

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2023Analysis of the non-linear impact of digital economy development on energy intensity: Empirical research based on the PSTR model. (2023). Guo, Sen ; Zhao, Haoran. In: Energy. RePEc:eee:energy:v:282:y:2023:i:c:s0360544223022612.

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2023Nonlinear asset pricing in Chinese stock market: A deep learning approach. (2023). Xie, Ying ; Wang, Yiming ; Long, Suwan ; Pan, Shuiyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001436.

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2023How does the COVID-19 pandemic shape the relationship between Twitter sentiment and stock liquidity of US firms?. (2023). ben Arfa, Nouha ; Chebbi, Kaouther ; Ammari, Aymen. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001497.

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2023Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model. (2023). Li, Lihong ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002247.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023Firm performance and the crowd effect in lobbying competition. (2023). Girard, Alexandre ; van Rutten, Rodrigo Londoo ; Gnabo, Jean-Yves. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007942.

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2023Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?. (2023). Mangalagiri, Jayasree ; Rayadurgam, Vikram Chandramouli. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000818.

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2023Nonlinearities in the exchange rate pass-through: The role of inflation expectations. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: International Economics. RePEc:eee:inteco:v:173:y:2023:i:c:p:86-101.

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2023Institutional Quality and Financial Development in Resource-Rich Countries: A Nonlinear Panel Data Approach. (2023). Dosso, David. In: International Economics. RePEc:eee:inteco:v:174:y:2023:i:c:p:113-137.

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2023Chronological changes of government sectors’ fiscal policies and fiscal sustainability in Japan. (2023). Yoshida, Motonori. In: Japan and the World Economy. RePEc:eee:japwor:v:66:y:2023:i:c:s092214252300004x.

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2023Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits. (2023). Westerhoff, Frank ; Gardini, Laura ; Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:210:y:2023:i:c:p:342-359.

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2023Monetary policy uncertainty, monetary policy surprises and stock returns. (2023). Bask, Mikael ; Sekandary, Ghezal. In: Journal of Economics and Business. RePEc:eee:jebusi:v:124:y:2023:i:c:s0148619522000625.

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2023Public debt and state-dependent effects of fiscal policy in the euro area. (2023). Zachariadis, Marios ; Geiger, Martin ; Eminidou, Snezana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001498.

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2023Does wealth inequality affect the transmission of monetary policy?. (2023). Wacks, Johannes ; Matusche, Alexander. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000672.

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2023Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model. (2023). Semmler, Willi ; Lucidi, Francesco Simone. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:75:y:2023:i:c:s0164070422000805.

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2023Monetary policy transmission, productive activity, and inflation in Brazil: Does uncertainty matter?. (2023). Lopes, Luckas Sabioni ; Rotatori, Wilson Luiz. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000457.

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2023Unlocking the poverty and hunger puzzle: Toward democratizing the natural resource for accomplishing SDGs 1&2. (2023). Tiba, Sofien. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002246.

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2023Can one hear the shape of a target zone?. (2023). Rinaldo, Daniele ; Hongler, Max-Olivier ; Kumar, Shekhar Hari ; Arcand, Jean-Louis. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:107:y:2023:i:c:s0304406823000459.

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2023Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189.

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2023Financial constraint, cross-sectoral spillover and systemic risk in China. (2023). Hao, Jing ; Yuan, Ming ; Bi, Shasha ; Wen, Bohui. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:1-11.

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2023A semi-parametric study on dynamic linkages among international real interest rates. (2023). Goodwin, Barry K ; You, Zhongyuan ; Guney, Selin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:215-229.

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2023Can digital transformation overcome the enterprise innovation dilemma: Effect, mechanism and effective boundary. (2023). Chen, Jin ; Zhuo, Chengfeng. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:190:y:2023:i:c:s004016252300063x.

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2023Digitalization and CO2 emissions: Dynamics under R&D and technology innovation regimes. (2023). Saia, Artjom. In: Technology in Society. RePEc:eee:teinso:v:74:y:2023:i:c:s0160791x23001288.

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2023Liquidity and Business Cycles—With Occasional Disruptions. (2023). Kokesen, Levent ; Padro, Gabriel R ; Semmler, Willi. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:4:p:27-:d:1298773.

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2023The Optimal Level of Financial Growth in View of a Nonlinear Macroprudential Policy Regime Model: A Bayesian Approach. (2023). Nkomo, Nomusa Yolanda ; Zungu, Lindokuhle Talent ; Dlamini, Sifundo Ntokozo. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:234-:d:1118685.

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2023.

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2023.

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2023Nonlinear Effects of Eco-Industrial Parks on Sulfur Dioxide and Carbon Dioxide Emissions—Estimation Based on Nonlinear DID. (2023). Dai, Yue ; Zhu, Yuanyuan ; Cao, Kairui ; Xu, Qunfang. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:1988-:d:1042264.

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2023An Interpretable Machine Learning Workflow with an Application to Economic Forecasting. (2023). Joseph, Andreas ; Buckmann, Marcus. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:4:a:10.

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2023Financial Development, Political Instability, Trade Openness and Growth in Brazil: Evidence from a New Dataset, 1890-2003. (2023). Glebkina, Ekaterina ; Campos, Nauro ; Koutroumpis, Panagiotis ; Karanasos, Menelaos. In: Open Economies Review. RePEc:kap:openec:v:34:y:2023:i:4:d:10.1007_s11079-022-09684-4.

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2023The dynamic effect of trading between China and Taiwan under exchange rate fluctuations. (2023). Chen, Ssu-Han ; Yang, Yu-Tai ; Liu, Chieh. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01903-8.

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2023The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide. (2023). Skare, Marinko ; Qin, Yong ; Fan, Xuecheng ; Xu, Zeshui ; Lv, Shengnan. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:11-47.

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2023Forecasting House Prices: The Role of Fundamentals, Credit Conditions, and Supply Indicators. (2023). Kishor, Kundan N. In: MPRA Paper. RePEc:pra:mprapa:116819.

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2023Estimating and Testing for Functional Coefficient Quantile Cointegrating Regression. (2023). Zheng, Chaowen ; Zhang, Jing ; Li, Haiqi. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2023-07.

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2023State-Dependent Exchange Rate Pass-Through. (2023). Furceri, Davide ; Carrière-Swallow, Yan ; Jimenez, Daniel ; Firat, Melih ; Carriere-Swallow, Yan. In: Working papers. RePEc:rie:riecdt:106.

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2023Nonlinearity in emerging market indices: A comprehensive study of stock exchange market dynamics. (2023). Babangida, Jamilu Said. In: Applied Econometrics. RePEc:ris:apltrx:0483.

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2023Determinants of COVID-19 Vaccine Rollouts and Their Effects on Health Outcomes. (2023). Ostry, Jonathan ; Furceri, Davide ; Tawk, Nour ; Kothari, Siddharth ; Jimenez, Daniel ; Deb, Pragyan. In: Applied Health Economics and Health Policy. RePEc:spr:aphecp:v:21:y:2023:i:1:d:10.1007_s40258-022-00757-6.

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2023Markov chains, eigenvalues and the stability of economic growth processes. (2023). Delbianco, Fernando ; Tohme, Fernando ; Fioriti, Andres. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02276-8.

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2023Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility. (2023). Cho, Dooyeon ; Rho, Seunghwa ; Baillie, Richard T. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02357-8.

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2023On the effects of climate variability on agricultural crops: evidence from an in-transition economy. (2023). Rahmoun, Mbarek ; ben Cheikh, Nidhaleddine ; ben Zaied, Younes. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:25:y:2023:i:2:d:10.1007_s10018-022-00348-8.

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2023Gazing through the bubble: an experimental investigation into financial risk-taking using eye-tracking. (2023). Miyakoshi, Makoto ; Kubinschi, Matei Nicolae ; Cepoi, Cosmin-Octavian ; Toma, Filip-Mihai. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00444-4.

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2023Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms. (2023). Shaikh, Parvez Ahmed ; Khan, Faridoon. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00200-9.

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2023Does ownership structure reduce earnings manipulation practice of Egyptian listed firms? Evidence from a dynamic panel threshold model. (2023). Mehafdi, Messaoud ; Khemiri, Wafa ; Attia, Eman F. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00213-4.

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2023Non-linear structures, chaos, and bubbles in U.S. regional housing markets. (2023). Bui, Thuy ; Emekter, Riza ; Jirasakuldech, Benjamas. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:1:d:10.1007_s12197-022-09598-4.

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2023Smooth transition regression model relating inflation to economic growth in Tunisia. (2023). Kalai, Maha ; Becha, Hamdi ; Helali, Kamel. In: Journal of Economic Structures. RePEc:spr:jecstr:v:12:y:2023:i:1:d:10.1186_s40008-023-00308-9.

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2023Synchronization in Cycles of China and India During Recent Crises: A Markov Switching Analysis. (2023). Tuteja, Divya ; Dua, Pami. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:2:d:10.1007_s40953-023-00343-0.

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2023Further investigation of the total natural resource rents and economic growth nexus in resource-abundant sub-Saharan African countries. (2023). Shaw, Williams ; Ware, Emmanuel Opoku ; Laari, Prosper Basommi ; Kwaku, Gideon Minua. In: Mineral Economics. RePEc:spr:minecn:v:36:y:2023:i:1:d:10.1007_s13563-022-00316-4.

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2023A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x.

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2023Predicting inflation component drivers in Nigeria: a stacked ensemble approach. (2023). Anthony, Abel ; Joshua, Jeremiah D ; Taiwo, Oyedamola F ; Akanni, Elijah O ; Akande, Emmanuel O. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00384-2.

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2023Distinct Asymmetric Effects of Military Spending on Economic Growth for Different Income Groups of Countries. (2023). Yildirim, Julide ; Ocal, Nadir ; Karadam, Duygu Yolcu. In: Defence and Peace Economics. RePEc:taf:defpea:v:34:y:2023:i:4:p:477-494.

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2023Remittances and economic growth: What lessons for the CEMAC zone?. (2023). Nya, Patrick Danel ; Tchekoumi, Louis Bernard. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:11:y:2023:i:1:p:2191448.

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2023A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities. (2023). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Department of Economics Working Papers. RePEc:udt:wpecon:2023_01.

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2023Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach.. (2023). Alqaralleh, Huthaifa ; Chini, Emilio Zanetti ; Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202318.

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2023On the Origins of Conditional Heteroscedasticity in Time Series. (2010). Ashley, Richard. In: Working Papers. RePEc:vpi:wpaper:e07-23.

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2023Demand analysis with structural changes: Model and application to the US blueberry market. (2023). Wu, Feng ; Sotocaro, Ariel ; Guan, Zhengfei ; Xia, Tian. In: Agribusiness. RePEc:wly:agribz:v:39:y:2023:i:4:p:1100-1116.

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2023The impact of COVID?19 on unemployment rate: An intelligent based unemployment rate prediction in selected countries of Europe. (2023). Abbas, Syed Zaheer ; Haider, Syed Jawad ; Jiang, Chong Hui ; Khan, Yousaf Ali ; Ahmad, Muneeb. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:528-543.

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2023Global factors and the transmission between United States and emerging stock markets. (2023). Farid, Saqib ; Naeem, Muhammad Abubakr ; Taghizadehhesary, Farhad ; Qureshi, Fiza. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3488-3510.

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2023Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries. (2023). Werner, Richard A ; Lee, Kangsoek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3960-3975.

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2023Nonlinear inflation forecasting with recurrent neural networks. (2023). Andresen, Niek ; Almosova, Anna. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:240-259.

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2023.

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2023Forecast accuracy of the linear and nonlinear autoregressive models in macroeconomic modeling. (2023). Mohammadi, Shapour ; Taiebnia, Ali. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:8:p:2045-2062.

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2023Investigating the inflation-output-nexus for the euro area: Old questions and new results. (2023). Roffia, Barbara ; Reimers, Hans-Eggert ; Gerdesmeier, Dieter. In: Wismar Discussion Papers. RePEc:zbw:hswwdp:012023.

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Timo Teräsvirta has edited the books:


YearTitleTypeCited

Works by Timo Teräsvirta:


YearTitleTypeCited
2023Long Monthly European Temperature Series and the North Atlantic Oscillation In: Economics Working Papers.
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paper0
2023Long monthly European temperature series and the North Atlantic Oscillation.(2023) In: Energy Economics.
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This paper has nother version. Agregated cites: 0
article
2008Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers.
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paper87
2007Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 87
paper
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 87
article
2008Multivariate GARCH models In: CREATES Research Papers.
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2008Multivariate GARCH models.(2008) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 94
paper
2008Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers.
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paper22
2008Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 22
article
2005Parameterizing Unconditional Skewness in Models for Financial Time Series.(2005) In: Research Paper Series.
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This paper has nother version. Agregated cites: 22
paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers.
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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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This paper has nother version. Agregated cites: 30
paper
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure.(2008) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 30
paper
2008Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers.
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paper37
2013Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form.(2013) In: Post-Print.
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This paper has nother version. Agregated cites: 37
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 nother version. Agregated cites: 37
paper
2009Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers.
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paper11
2011Forecasting inflation with gradual regime shifts and exogenous information.(2011) In: Working Paper Series.
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This paper has nother version. Agregated cites: 11
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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paper62
2013Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 62
article
2011Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 62
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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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 nother version. Agregated cites: 19
article
2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers.
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paper16
2016Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques.(2016) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 16
article
2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers.
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paper19
2014Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009.(2014) In: International Journal of Forecasting.
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article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers.
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paper36
2014Modelling changes in the unconditional variance of long stock return series.(2014) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 36
article
2012Modelling Changes in the Unconditional Variance of Long Stock Return Series.(2012) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 36
paper
2012Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers.
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paper30
2015Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach.(2015) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 30
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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This paper has nother version. Agregated cites: 4
chapter
2012Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis In: CREATES Research Papers.
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paper3
2013Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers.
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paper61
2014A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model In: CREATES Research Papers.
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paper4
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 nother version. Agregated cites: 4
article
2014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers.
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paper45
2014Linearity and misspecification tests for vector smooth transition regression models.(2014) In: LIDAM Discussion Papers CORE.
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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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paper36
2014Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: LIDAM Discussion Papers CORE.
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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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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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This paper has nother version. Agregated cites: 11
article
2015Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers.
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paper3
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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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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paper2
2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis.(2020) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 2
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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paper2
2017Modelling and forecasting WIG20 daily returns In: CREATES Research Papers.
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paper2
2017Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2017Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics.
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This paper has nother version. Agregated cites: 2
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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paper393
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 393
paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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This paper has nother version. Agregated cites: 393
paper
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers.
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paper3
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers.
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This paper has nother version. Agregated cites: 3
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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paper2
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 nother version. Agregated cites: 2
article
2018Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers.
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paper1
2022Transition from the Taylor rule to the zero lower bound.(2022) In: Studies in Nonlinear Dynamics & Econometrics.
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This paper has nother version. Agregated cites: 1
article
2019Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model In: CREATES Research Papers.
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paper2
2019Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model.(2019) In: Working papers.
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This paper has nother version. Agregated cites: 2
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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paper1
2021Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model.(2021) In: Energy Economics.
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This paper has nother version. Agregated cites: 1
article
2021Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model In: CREATES Research Papers.
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paper0
2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model In: CREATES Research Papers.
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paper0
2022A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model.(2022) In: Econometrics.
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This paper has nother version. Agregated cites: 0
article
2006Modelling autoregressive processes with a shifting mean In: Borradores de Economia.
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paper8
2008Modelling Autoregressive Processes with a Shifting Mean.(2008) In: Studies in Nonlinear Dynamics & Econometrics.
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article
2006Modelling autoregressive processes with a shifting mean.(2006) In: Borradores de Economia.
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This paper has nother version. Agregated cites: 8
paper
2007Modelling autoregressive processes with a shifting mean.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 8
paper
2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]
article108
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 108
paper
2006Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics.
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article57
2004Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 57
paper
1993POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis.
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article65
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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article5
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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paper
1985MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS In: Journal of Time Series Analysis.
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article0
1996Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics.
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article123
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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article10
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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article0
1996Power Properties of Linearity Tests for Time Series In: Studies in Nonlinear Dynamics & Econometrics.
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article5
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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paper2
2002Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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1981Some results on improving the least squares estimation of linear models by mixed estimation In: LIDAM Reprints CORE.
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paper1
1980The polynomial distributed lag revisited In: LIDAM Reprints CORE.
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1980The Polynomial Distributed Lag Revisited..(1980) In: Empirical Economics.
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1999FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS In: Econometric Theory.
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article47
1997Fourth Moment Structure of the GARCH (p, q) Process.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS In: Econometric Theory.
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article54
2004AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE In: Econometric Theory.
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article43
2002An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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2001INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS In: Macroeconomic Dynamics.
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article1
2002MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES In: Macroeconomic Dynamics.
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article140
1998Modelling asymmetries and moving equilibria in unemployment rates.(1998) In: SSE/EFI Working Paper Series in Economics and Finance.
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2004A Time Series Model for an Exchange Rate in a Target Zone with Applications In: Econometric Society 2004 Australasian Meetings.
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paper48
2006A time series model for an exchange rate in a target zone with applications.(2006) In: Journal of Econometrics.
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2003A time series model for an exchange rate in a target zone with applications.(2003) In: SSE/EFI Working Paper Series in Economics and Finance.
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1976A Note on Bias in the Almon Distributed Lag Estimator. In: Econometrica.
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2009Testing for volatility interactions in the Constant Conditional Correlation GARCH model In: Econometrics Journal.
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article50
2007Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
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2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
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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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2006A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal.
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1986Aspects of modelling nonlinear time series In: Handbook of Econometrics.
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chapter5
2006Forecasting economic variables with nonlinear models In: Handbook of Economic Forecasting.
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chapter31
2005Forecasting economic variables with nonlinear models.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999A simple nonlinear time series model with misleading linear properties In: Economics Letters.
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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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2002Long memory and nonlinear time series In: Journal of Econometrics.
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2002Evaluating GARCH models In: Journal of Econometrics.
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article85
1999Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers.
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2006Common factors in conditional distributions for bivariate time series In: Journal of Econometrics.
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article41
2003Common factors in conditional distributions for Bivariate time series.(2003) In: LSE Research Online Documents on Economics.
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2007Testing constancy of the error covariance matrix in vector models In: Journal of Econometrics.
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article3
2006Testing constancy of the error covariance matrix in vector models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance.
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1982Underestimation of mean square error matrix in misspecified linear models In: Journal of Econometrics.
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article0
1987The extended Stein procedure for simultaneous model selection and parameter estimation 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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article2
1994Testing the constancy of regression parameters against continuous structural change In: Journal of Econometrics.
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1996Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics.
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article428
1995Testing the Adequacy of Smooth Transition Autoregressive Models.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Testing parameter constancy in linear models against stochastic stationary parameters In: Journal of Econometrics.
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article4
1995Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters.(1995) In: SSE/EFI Working Paper Series in Economics and Finance.
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1995Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters.(1995) In: SFB 373 Discussion Papers.
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1999Properties of moments of a family of GARCH processes In: Journal of Econometrics.
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1997Properties of Moments of a Family of GARCH Processes.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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1976Forecasting the consumption of alcoholic beverages in Finland : A box-Jenkins approach In: European Economic Review.
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2008Positivity constraints on the conditional variances in the family of conditional correlation GARCH models In: Finance Research Letters.
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0000Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models.(0000) In: SSE/EFI Working Paper Series in Economics and Finance.
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1994The combination of forecasts using changing weights 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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2005Reply In: International Journal of Forecasting.
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2000Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers.
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2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews.
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1999Investigating Stability and Linearity of a German M1 Money Demand Function..(1999) In: Journal of Applied Econometrics.
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1995Investigating Stability and Linearity of a German M1 Money Demand Function.(1995) In: SFB 373 Discussion Papers.
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1996Testing Linearity against Nonlinear Moving Average Models In: SSE/EFI Working Paper Series in Economics and Finance.
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1997Testing Linearity against Nonlinear Moving Average Models.(1997) In: Umeå Economic Studies.
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1996Two Stylized Facts and the Garch (1,1) Model In: SSE/EFI Working Paper Series in Economics and Finance.
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1996Modelling the Demand for M3 in the unified Germany In: SSE/EFI Working Paper Series in Economics and Finance.
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1996Modelling the Demand for M3 in the Unified Germany.(1996) In: SFB 373 Discussion Papers.
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1996Stylized Facts of Daily Return Series and the Hidden Markov Model In: SSE/EFI Working Paper Series in Economics and Finance.
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1996Another Look at Swedish Business Cycles, 1861-1988 In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Another Look at Swedish Business Cycles, 1861-1988..(1999) In: Journal of Applied Econometrics.
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1996Another Look at Swedish Business Cycles, 1861-1988.(1996) In: SFB 373 Discussion Papers.
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1996Modelling Economic Relationships with Smooth Transition Regressions In: SSE/EFI Working Paper Series in Economics and Finance.
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1996Smooth Transition Models In: SSE/EFI Working Paper Series in Economics and Finance.
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1997Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance.
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1998A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance.
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1998Nonlinear error-correction and the UK demand for broad money, 1878-1993 In: SSE/EFI Working Paper Series in Economics and Finance.
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1998Modelling economic high-frequency time series with STAR-STGARCH models In: SSE/EFI Working Paper Series in Economics and Finance.
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2000A simple variable selection technique for nonlinear models In: SSE/EFI Working Paper Series in Economics and Finance.
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1999A simple variable selection technique for nonlinear models.(1999) In: SFB 373 Discussion Papers.
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1999Higher-order dependence in the general Power ARCH process and a special case In: SSE/EFI Working Paper Series in Economics and Finance.
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1999THE NET BARTER TERMS OF TRADE : A SMOOTH TRANSITION APPROACH In: SSE/EFI Working Paper Series in Economics and Finance.
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2003The net barter terms of trade: A smooth transition approach.(2003) In: International Journal of Finance & Economics.
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1999Fourth Moment Structure of a Family of First-Order Exponential GARCH Models In: SSE/EFI Working Paper Series in Economics and Finance.
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1999Fourth Moment Structure of a Family of First-Order Exponential GARCH Models.(1999) In: Research Paper Series.
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2000Forecasting with smooth transition autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance.
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2004Testing parameter constancy in stationary vector autoregressive models against continuous change In: SSE/EFI Working Paper Series in Economics and Finance.
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2009Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change.(2009) In: Econometric Reviews.
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2002Building neural network models for time series: A statistical approach In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Building neural network models for time series: a statistical approach.(2006) In: Journal of Forecasting.
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2002Building Neural Network Models for Time Series: A Statistical Approach.(2002) In: Textos para discussão.
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2002An application of the analogy between vector ARCH and vector random coefficient autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance.
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2002Error correction in DHSY In: SSE/EFI Working Paper Series in Economics and Finance.
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2004Stylized Facts of Financial Time Series and Three Popular Models of Volatility In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations.(2005) In: Research Paper Series.
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2005Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Univariate nonlinear time series models In: SSE/EFI Working Paper Series in Economics and Finance.
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2006An introduction to univariate GARCH models In: SSE/EFI Working Paper Series in Economics and Finance.
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2007Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility In: SSE/EFI Working Paper Series in Economics and Finance.
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1988Formation of Firms Production Decisions in Finnish Manufacturing Industries. In: Journal of Applied Econometrics.
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1992Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models. In: Journal of Applied Econometrics.
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1993Modeling Nonlinearity over the Business Cycle In: NBER Chapters.
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1989Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis In: Discussion Papers.
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1989How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production? In: Discussion Papers.
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1991Forecasting the Outputof Finnish Forest Industries Using Business Survey Data In: Discussion Papers.
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1996Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finlands Great Depression In: Discussion Papers.
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2017Specification and testing of multiplicative time-varying GARCH models with applications In: Econometric Reviews.
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