36
H index
68
i10 index
5739
Citations
Timo Teräsvirta : Citation Profile
Humboldt-Universität Berlin (50% share) | RESEARCH PRODUCTION: 78 Articles 139 Papers 2 Books 5 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
47 years (1976 - 2023). 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:
| Cites to:
|
Main data
Where Timo Teräsvirta has published?
Recent works citing Timo Teräsvirta (2023 and 2022)
| Year | Title of citing document | |
|---|---|---|
| 2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
| 2022 | . Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2022 | Can one hear the size of a target zone?. (2020). Rinaldo, Daniele ; Kumar, Shekhar Hari ; Hongler, Max-Olivier ; Arcand, Jean-Louis ; Jean - Louis Arcand, . In: Papers. RePEc:arx:papers:2002.00948. Full description at Econpapers || Download paper | |
| 2022 | Predicting Disaggregated CPI Inflation Components via Hierarchical Recurrent Neural Networks. (2020). Caspi, Itamar ; Barkan, Oren ; Koenigstein, Noam ; Hammer, Allon. In: Papers. RePEc:arx:papers:2011.07920. Full description at Econpapers || Download paper | |
| 2022 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper | |
| 2022 | Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197. Full description at Econpapers || Download paper | |
| 2022 | A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146. Full description at Econpapers || Download paper | |
| 2022 | Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970. Full description at Econpapers || Download paper | |
| 2022 | Portfolio Construction with Gaussian Mixture Returns and Exponential Utility via Convex Optimization. (2022). Boyd, Stephen ; Luxenberg, Eric. In: Papers. RePEc:arx:papers:2205.04563. Full description at Econpapers || Download paper | |
| 2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
| 2023 | The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599. Full description at Econpapers || Download paper | |
| 2022 | Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605. Full description at Econpapers || Download paper | |
| 2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
| 2022 | A smooth transition autoregressive model for matrix-variate time series. (2022). Bucci, Andrea. In: Papers. RePEc:arx:papers:2212.08615. Full description at Econpapers || Download paper | |
| 2023 | Artificial neural networks and time series of counts: A class of nonlinear INGARCH models. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2304.01025. Full description at Econpapers || Download paper | |
| 2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
| 2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper | |
| 2023 | Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993. Full description at Econpapers || Download paper | |
| 2023 | Testing for Stationary or Persistent Coefficient Randomness in Predictive Regressions. (2023). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2309.04926. Full description at Econpapers || Download paper | |
| 2023 | Regressing on distributions: The nonlinear effect of temperature on regional economic growth. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2309.10481. Full description at Econpapers || Download paper | |
| 2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
| 2023 | Stock 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. Full description at Econpapers || Download paper | |
| 2022 | . Full description at Econpapers || Download paper | |
| 2022 | The prices of renewable commodities: a robust stationarity analysis. (2022). Presno, Maria Jose ; Landajo, Manuel. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:2:p:447-470. Full description at Econpapers || Download paper | |
| 2022 | A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683. Full description at Econpapers || Download paper | |
| 2022 | Exploring the dependencies among main cryptocurrency log?returns: A hidden Markov model. (2022). Bartolucci, Francesco ; Forte, Gianfranco ; Pennoni, Fulvia ; Ametrano, Ferdinando. In: Economic Notes. RePEc:bla:ecnote:v:51:y:2022:i:1:n:e12193. Full description at Econpapers || Download paper | |
| 2023 | Recent 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. Full description at Econpapers || Download paper | |
| 2023 | Machine 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. Full description at Econpapers || Download paper | |
| 2022 | Credit, output and financial stress: A non?linear LVSTAR application to Brazil. (2022). Semmler, Willi ; Bastos, Jose Pedro. In: Metroeconomica. RePEc:bla:metroe:v:73:y:2022:i:3:p:900-923. Full description at Econpapers || Download paper | |
| 2022 | Inference in Misspecified GARCH?M Models. (2022). Smallwood, Aaron D. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:334-355. Full description at Econpapers || Download paper | |
| 2022 | Real Exchange Rates and Fundamentals in a new Markov?STAR Model. (2022). Sibbertsen, Philipp ; Ma, Jun ; Flock, Teresa ; Bertram, Philip . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:356-379. Full description at Econpapers || Download paper | |
| 2022 | Debt Intolerance: Threshold Level and Composition. (2022). Matsuoka, Hideaki. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:4:p:894-932. Full description at Econpapers || Download paper | |
| 2023 | Exploring 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. Full description at Econpapers || Download paper | |
| 2022 | What goes up must come down: Theory and model specification of threshold dynamics. (2022). Philips, Andrew Q ; Paul, Hannah L. In: Social Science Quarterly. RePEc:bla:socsci:v:103:y:2022:i:5:p:1273-1289. Full description at Econpapers || Download paper | |
| 2022 | Threshold effects of openness on real and nominal effective exchange rates in emerging and developing economies. (2022). Saha, Sujata ; Keefe, Helena Glebocki. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:5:p:1386-1408. Full description at Econpapers || Download paper | |
| 2022 | Real and nominal effects of monetary shocks under time-varying disagreement. (2022). Esady, Vania. In: Bank of England working papers. RePEc:boe:boeewp:1007. Full description at Econpapers || Download paper | |
| 2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper | |
| 2022 | Nonlinearities in the Exchange Rate Pass-Through: The Role of Inflation Expectations. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9544. Full description at Econpapers || Download paper | |
| 2023 | Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes. (2023). Frankel, Jeffrey. In: CID Working Papers. RePEc:cid:wpfacu:429. Full description at Econpapers || Download paper | |
| 2022 | Inference on Multiplicative Component GARCH without any Small-Order Moment. (2022). Zakoian, Jean-Michel ; Kandji, Baye Matar ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-09. Full description at Econpapers || Download paper | |
| 2023 | On 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. Full description at Econpapers || Download paper | |
| 2023 | Modelling 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. Full description at Econpapers || Download paper | |
| 2022 | Fiscal Multipliers and Informality. (2022). Furceri, Davide ; Colombo, Emilio ; Tirelli, Patrizio ; Pizzuto, Pietro. In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo. RePEc:dis:wpaper:dis2201. Full description at Econpapers || Download paper | |
| 2023 | An 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. Full description at Econpapers || Download paper | |
| 2022 | Kernel-based hidden Markov conditional densities. (2022). Gooijer, Jan G. ; Yuan, AO ; Henter, Gustav Eje ; de Gooijer, Jan G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947322000111. Full description at Econpapers || Download paper | |
| 2022 | A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x. Full description at Econpapers || Download paper | |
| 2022 | Smooth Transition Simultaneous Equation Models. (2022). Krishnakumar, Jaya ; Kadilli, Anjeza. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002494. Full description at Econpapers || Download paper | |
| 2022 | Clean energy deserves to be an asset class: A volatility-reward analysis. (2022). Fahmy, Hany. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002856. Full description at Econpapers || Download paper | |
| 2022 | Do tax reforms affect income distribution? Evidence from developing countries. (2022). Jalles, Joao ; Gupta, Sanjeev. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000505. Full description at Econpapers || Download paper | |
| 2022 | FDI, corruption and financial development around the world: A panel non-linear approach. (2022). Matei, Iuliana ; Sattar, Abdul ; Krifa-Schneider, Hadjila. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000554. Full description at Econpapers || Download paper | |
| 2022 | Market regime detection via realized covariances. (2022). Ciciretti, Vito ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000785. Full description at Econpapers || Download paper | |
| 2022 | On the behavior of Okuns law across business cycles. (2022). Donayre, Luiggi. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322001043. Full description at Econpapers || Download paper | |
| 2022 | Financial contagion drivers during recent global crises. (2022). Perote, Javier ; Cortes, Lina M ; Pineda, Julian. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322003042. Full description at Econpapers || Download paper | |
| 2023 | The 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. Full description at Econpapers || Download paper | |
| 2022 | Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes. (2022). He, Qizhi ; Yang, Xian ; Zhang, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001115. Full description at Econpapers || Download paper | |
| 2022 | Economic policy uncertainty, oil price volatility and stock market returns: Evidence from a nonlinear model. (2022). Ma, Yong ; Du, Wanying ; Wang, Yunyuan ; Liu, Xiaojun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001176. Full description at Econpapers || Download paper | |
| 2022 | Too good to be true: The inverted U-shaped relationship between home-country digitalization and environmental performance. (2022). Leyva-De, Dante I ; Pedauga, Luis E ; Delgado-Marquez, Blanca L ; Ahmadova, Gozal. In: Ecological Economics. RePEc:eee:ecolec:v:196:y:2022:i:c:s0921800922000556. Full description at Econpapers || Download paper | |
| 2022 | Quantile unit root inference for panel data with common shocks. (2022). Cai, Biqing ; Wei, Jinbao ; Yang, Jisheng. In: Economics Letters. RePEc:eee:ecolet:v:219:y:2022:i:c:s0165176522002968. Full description at Econpapers || Download paper | |
| 2022 | Testing the existence of moments for GARCH processes. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:47-64. Full description at Econpapers || Download paper | |
| 2022 | Simultaneous inference for time-varying models. (2022). Wu, Wei Biao ; Richter, Stefan ; Karmakar, Sayar. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:408-428. Full description at Econpapers || Download paper | |
| 2022 | Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460. Full description at Econpapers || Download paper | |
| 2022 | Functional time series approach to analyzing asset returns co-movements. (2022). Xia, Yingcun ; Saart, Patrick W. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:127-151. Full description at Econpapers || Download paper | |
| 2022 | Convergence of spectral density estimators in the locally stationary framework. (2022). Kawka, Rafael. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:94-115. Full description at Econpapers || Download paper | |
| 2023 | Oil 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. Full description at Econpapers || Download paper | |
| 2022 | Non-linearities in fiscal policy: The role of debt. (2022). Fotiou, Alexandra. In: European Economic Review. RePEc:eee:eecrev:v:150:y:2022:i:c:s0014292122001210. Full description at Econpapers || Download paper | |
| 2023 | Corporate 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. Full description at Econpapers || Download paper | |
| 2022 | Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17). (2022). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; da Silva, Tarciso Gouveia. In: Emerging Markets Review. RePEc:eee:ememar:v:52:y:2022:i:c:s1566014122000334. Full description at Econpapers || Download paper | |
| 2023 | Household 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. Full description at Econpapers || Download paper | |
| 2022 | The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus. (2022). Fahmy, Hany. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321005855. Full description at Econpapers || Download paper | |
| 2022 | Regime specific spillovers across US sectors and the role of oil price volatility. (2022). Uddin, Gazi ; Kang, Sanghoon ; Bouri, Elie ; Sadorsky, Perry ; Hussain, Syed Jawad ; Hernandez, Jose Arreola ; Arreolahernandez, Jose. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000238. Full description at Econpapers || Download paper | |
| 2022 | Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies. (2022). Konstandatos, Otto ; Rai, Alan ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005011. Full description at Econpapers || Download paper | |
| 2022 | Forecasting oil prices: New approaches. (2022). de Albuquerquemello, Vinicius Phillipe ; de Jesus, Diego Pitta ; da Nobrega, Cassio ; de Medeiros, Rennan Kertlly. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pc:s0360544221022167. Full description at Econpapers || Download paper | |
| 2022 | Non-linear effects of outward foreign direct investment on total factor energy efficiency in China. (2022). Li, Mengna ; Tian, Mengyuan ; Chu, Junhui ; Pan, Xiongfeng. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pd:s036054422102541x. Full description at Econpapers || Download paper | |
| 2022 | Renewable energy and economic growth: A Markov-switching approach. (2022). Spagnolo, Nicola ; Mamon, Rogemar ; Chen, Yiyang. In: Energy. RePEc:eee:energy:v:244:y:2022:i:pb:s0360544221033387. Full description at Econpapers || Download paper | |
| 2022 | Understanding the linkage-dependence structure between oil and gas markets: A new perspective. (2022). Lu, Quanying ; Dong, Jichang ; Chai, Jian ; Wei, Zhaohao. In: Energy. RePEc:eee:energy:v:257:y:2022:i:c:s0360544222016589. Full description at Econpapers || Download paper | |
| 2023 | Energy substitution in Africa: Cross-regional differentiation effects. (2023). Tinta, Abdoulganiour Almame. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pa:s0360544222024719. Full description at Econpapers || Download paper | |
| 2023 | Can 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. Full description at Econpapers || Download paper | |
| 2022 | International spillover effects of unconventional monetary policies of major central banks. (2022). Okimoto, Tatsuyoshi ; Inoue, Tomoo. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921002854. Full description at Econpapers || Download paper | |
| 2022 | How does news sentiment affect the states of Japanese stock return volatility?. (2022). Shi, Yanlin ; Fu, Tong ; Feng, Lingbing. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922002241. Full description at Econpapers || Download paper | |
| 2023 | Nonlinear 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. Full description at Econpapers || Download paper | |
| 2022 | Timing of tick size reduction: Threshold and smooth transition model analysis. (2022). Tabata, Tomoaki ; Maruyama, Hiroyuki. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002233. Full description at Econpapers || Download paper | |
| 2022 | Interest in cryptocurrencies predicts conditional correlation dynamics. (2022). Chuffart, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002956. Full description at Econpapers || Download paper | |
| 2022 | Tracking safe haven properties of cryptocurrencies during the COVID-19 pandemic: A smooth transition approach. (2022). Nefzi, Nourhaine ; Melki, Abir. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002993. Full description at Econpapers || Download paper | |
| 2022 | Nonlinear impacts of CSR performance on firm risk: New evidence using a panel smooth threshold regression. (2022). Bruna, Maria Giuseppina ; Ammari, Aymen ; Rouine, Ibtissem. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000460. Full description at Econpapers || Download paper | |
| 2022 | A smooth difference-in-differences model for assessing gradual policy effects: Revisiting the impact of banking deregulation on income distribution. (2022). Jv, Yue-Qi ; Wang, Zheng-Xin. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004986. Full description at Econpapers || Download paper | |
| 2023 | Firm 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. Full description at Econpapers || Download paper | |
| 2023 | Does 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. Full description at Econpapers || Download paper | |
| 2022 | Frequency and severity estimation of cyber attacks using spatial clustering analysis. (2022). Jin, Zhuo ; Chu, Tingjin ; Ma, Boyuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:33-45. Full description at Econpapers || Download paper | |
| 2023 | Nonlinearities 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. Full description at Econpapers || Download paper | |
| 2023 | Institutional 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. Full description at Econpapers || Download paper | |
| 2022 | EPU spillovers and stock return predictability: A cross-country study. (2022). Xue, Wenjun ; He, Zhongzhi ; Gong, Yuting. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000452. Full description at Econpapers || Download paper | |
| 2022 | Machine learning algorithms for forecasting and backcasting blood demand data with missing values and outliers: A study of Tema General Hospital of Ghana. (2022). Twumasi, Juliet. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:1258-1277. Full description at Econpapers || Download paper | |
| 2022 | Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph | |
| 2022 | Re-thinking about U: The relevance of regime-switching model in the relationship between environmental corporate social responsibility and financial performance. (2022). Managi, Shunsuke ; Taleb, Lotfi ; ben Zaied, Younes ; ben Lahouel, Bechir. In: Journal of Business Research. RePEc:eee:jbrese:v:140:y:2022:i:c:p:498-519. Full description at Econpapers || Download paper | |
| 2022 | Modeling new-firm growth and survival with panel data using event magnitude regression. (2022). Nofal, Ahmed Maged ; Wallin, Jonas ; Delmar, Frederic. In: Journal of Business Venturing. RePEc:eee:jbvent:v:37:y:2022:i:5:s088390262200057x. Full description at Econpapers || Download paper | |
| 2022 | Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach. (2022). JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:196:y:2022:i:c:p:294-306. Full description at Econpapers || Download paper | |
| 2023 | Monetary 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. Full description at Econpapers || Download paper | |
| 2022 | Labor and product market reforms and external Imbalances: Evidence from advanced economies. (2022). Jalles, Joao ; Furceri, Davide ; Duval, Romain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:121:y:2022:i:c:s0261560621001649. 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 |
|---|---|---|---|
| 2023 | Long Monthly European Temperature Series and the North Atlantic Oscillation In: Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 87 |
| 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: 87 | paper | |
| 2009 | Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model.(2009) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 87 | article | |
| 2008 | Multivariate GARCH models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 94 |
| 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: 94 | paper | |
| 2008 | Parameterizing unconditional skewness in models for financial time series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 21 |
| 2008 | Parameterizing Unconditional Skewness in Models for Financial Time Series.(2008) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | 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: 21 | paper | |
| 2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
| 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: 30 | 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: 30 | paper | |
| 2008 | Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 36 |
| 2013 | Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form.(2013) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2012 | Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form.(2012) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
| 2009 | Forecasting inflation with gradual regime shifts and exogenous information In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
| 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: 11 | paper | |
| 2010 | Forecasting with nonlinear time series models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
| 2011 | Modelling Volatility by Variance Decomposition In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 62 |
| 2013 | Modelling volatility by variance decomposition.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | article | |
| 2011 | Modelling Volatility by Variance Decomposition.(2011) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | 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 | 18 |
| 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: 18 | 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: 18 | article | |
| 2011 | Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
| 2016 | Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
| 2011 | Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 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: 19 | article | |
| 2012 | Modelling Changes in the Unconditional Variance of Long Stock Return Series In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 35 |
| 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: 35 | 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: 35 | paper | |
| 2012 | Modelling conditional correlations of asset returns: A smooth transition approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
| 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: 29 | article | |
| 2012 | Unit roots, nonlinearities and structural breaks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Unit roots, non-linearities and structural breaks.(2013) In: Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | chapter | |
| 2012 | Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 59 |
| 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 | 4 |
| 2017 | A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 45 |
| 2014 | Linearity and misspecification tests for vector smooth transition regression models.(2014) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 35 |
| 2014 | Specification, estimation and evaluation of vector smooth transition autoregressive models with applications.(2014) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | 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 | 11 |
| 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: 11 | 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: 11 | article | |
| 2015 | Testing constancy of unconditional variance in volatility models by misspecification and specification tests In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 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: 3 | 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: 3 | paper | |
| 2017 | Sir Clive Grangers contributions to nonlinear time series and econometrics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2017 | Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Modelling and forecasting WIG20 daily returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Modelling and forecasting WIG20 daily returns.(2017) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2017 | Modelling and Forecasting WIG20 Daily Returns.(2017) In: Central European Journal of Economic Modelling and Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2017 | Nonlinear models in macroeconometrics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Panel Smooth Transition Regression Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 388 |
| 2017 | Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 388 | paper | |
| 2005 | Panel Smooth Transition Regression Models.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 388 | paper | |
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations.(2018) In: NIPE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2018 | The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016.(2019) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2018 | Transition from the Taylor rule to the zero lower bound In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Transition from the Taylor rule to the zero lower bound.(2022) In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2019 | Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model.(2019) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2019 | Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2021 | Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model.(2022) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 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 | 106 |
| 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: 106 | paper | |
| 2006 | Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 57 |
| 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: 57 | paper | |
| 1993 | POWER OF THE NEURAL NETWORK LINEARITY TEST In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 62 |
| 1999 | Properties of the Autocorrelation Function of Squared Observations for Second?order Garch Processes Under Two Sets of Parameter Constraints In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
| 1997 | Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints.(1997) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 1985 | MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 1996 | Testing Parameter Constancy and Super Exogeneity in Econometric Equations. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 120 |
| 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: 120 | paper | |
| 2006 | Simulation?based Finite Sample Linearity Test against Smooth Transition Models* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
| 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: 10 | paper | |
| 1998 | Comments 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 |
| 1996 | Power Properties of Linearity Tests for Time Series In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 5 |
| 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: 5 | paper | |
| 2002 | Common Factors in Conditional Distributions In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2002 | Common factors in conditional distributions.(2002) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1981 | Some results on improving the least squares estimation of linear models by mixed estimation In: LIDAM Reprints CORE. [Citation analysis] | paper | 1 |
| 1980 | The polynomial distributed lag revisited In: LIDAM Reprints CORE. [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 | |
| 1999 | FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS In: Econometric Theory. [Full Text][Citation analysis] | article | 47 |
| 1997 | Fourth Moment Structure of the GARCH (p, q) Process.(1997) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 2002 | MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 53 |
| 2004 | AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE In: Econometric Theory. [Full Text][Citation analysis] | article | 43 |
| 2002 | An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure.(2002) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
| 2001 | INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 1 |
| 2002 | MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 139 |
| 1998 | Modelling asymmetries and moving equilibria in unemployment rates.(1998) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 139 | paper | |
| 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 | 47 |
| 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: 47 | 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: 47 | 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 | 49 |
| 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: 49 | 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 | 32 |
| 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: 32 | 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: 32 | paper | |
| 2006 | A sequential procedure for determining the number of regimes in a threshold autoregressive model In: Econometrics Journal. [Full Text][Citation analysis] | article | 16 |
| 1986 | Aspects of modelling nonlinear time series In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 5 |
| 2006 | Forecasting economic variables with nonlinear models In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 31 |
| 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: 31 | paper | |
| 1999 | A simple nonlinear time series model with misleading linear properties In: Economics Letters. [Full Text][Citation analysis] | article | 128 |
| 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: 128 | paper | |
| 2002 | Long memory and nonlinear time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
| 2002 | Evaluating GARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 85 |
| 1999 | Evaluating GARCH models.(1999) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 85 | paper | |
| 1999 | Evaluating GARCH Models.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 85 | paper | |
| 2006 | Common factors in conditional distributions for bivariate time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 41 |
| 2003 | Common factors in conditional distributions for Bivariate time series.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | 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 | 213 |
| 1996 | Testing the adequacy of smooth transition autoregressive models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 427 |
| 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: 427 | paper | |
| 1999 | Testing parameter constancy in linear models against stochastic stationary parameters In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 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: 4 | 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: 4 | paper | |
| 1999 | Properties of moments of a family of GARCH processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 116 |
| 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: 116 | 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 | 23 |
| 0000 | Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models.(0000) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 1994 | The combination of forecasts using changing weights In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 58 |
| 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 | 10 |
| 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 | 97 |
| 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: 97 | 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: 97 | 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 | Thresholds and Smooth Transitions in Vector Autoregressive Models?The views expressed in this article are those of the authors and should not be interpreted as reflecting the views of the European Cen In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
| 2000 | Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 561 |
| 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: 561 | 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: 561 | 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 | 16 |
| 1999 | A General Framework for Testing the Granger Noncausality Hypothesis. In: G.R.E.Q.A.M.. [Citation analysis] | paper | 13 |
| 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: 13 | paper | |
| 2023 | Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 59 |
| 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: 59 | 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: 59 | 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 | 4 |
| 1996 | Modelling the Demand for M3 in the unified Germany In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 47 |
| 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: 47 | 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: 47 | 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 | 138 |
| 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: 138 | 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 | 46 |
| 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: 46 | 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: 46 | paper | |
| 1996 | Modelling Economic Relationships with Smooth Transition Regressions In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 6 |
| 1996 | Smooth Transition Models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 170 |
| 1997 | Statistical Properties of the Asymmetric Power ARCH Process In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 4 |
| 1998 | A nonlinear time series model of El Niño In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 24 |
| 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 | 4 |
| 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 | 33 |
| 2000 | A simple variable selection technique for nonlinear models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 18 |
| 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: 18 | paper | |
| 1999 | Higher-order dependence in the general Power ARCH process and a special case In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 7 |
| 1999 | THE NET BARTER TERMS OF TRADE : A SMOOTH TRANSITION APPROACH In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 7 |
| 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: 7 | 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 | 12 |
| 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: 12 | paper | |
| 2000 | Forecasting with smooth transition autoregressive models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 5 |
| 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 | 14 |
| 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: 14 | 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 | 54 |
| 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: 54 | 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: 54 | paper | |
| 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 | 3 |
| 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 | 22 |
| 2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 59 |
| 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: 59 | 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 | 19 |
| 2005 | Univariate nonlinear time series models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 1 |
| 2006 | An introduction to univariate GARCH models In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 8 |
| 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 | 3 |
| 2001 | Non-linear error correction and the UK demand for broad money, 1878-1993 In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 27 |
| 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 | 577 |
| 1993 | Modeling Nonlinearity over the Business Cycle In: NBER Chapters. [Full Text][Citation analysis] | chapter | 25 |
| 2010 | Working With Clive Granger: Two Short Memories In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1993 | Modelling Non-Linear Economic Relationships In: OUP Catalogue. [Citation analysis] | book | 427 |
| 2010 | Modelling Nonlinear Economic Time Series In: OUP Catalogue. [Citation analysis] | book | 152 |
| 1988 | A Review of PC-GIVE: A Statistical Package for Econometric Modelling In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1988 | Testing Linearity of Economic Time Series against Cyclical A symmetry In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1989 | Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1989 | How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production? In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1991 | Forecasting the Outputof Finnish Forest Industries Using Business Survey Data In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1996 | Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finlands Great Depression In: Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
| 2001 | Statistical methods for modelling neural networks In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Modelling Nonlinearity in U.S. Gross National Product 1889-1987. In: Empirical Economics. [Citation analysis] | article | 3 |
| 2011 | Stylized facts of return series, robust estimates and three popular models of volatility In: Applied Financial Economics. [Full Text][Citation analysis] | article | 23 |
| 2017 | Specification and testing of multiplicative time-varying GARCH models with applications In: Econometric Reviews. [Full Text][Citation analysis] | article | 18 |
| 2022 | Comprehensively testing linearity hypothesis using the smooth transition autoregressive model In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2010 | Sir Clive William John Granger, 1934-2009 In: New Zealand Economic Papers. [Full Text][Citation analysis] | article | 0 |
| 1999 | Modelling Economic High-Frequency Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 2013 | Financial sector and output dynamics in the euro area countries In: ZEW policy briefs. [Full Text][Citation analysis] | paper | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team