Department of Economics and Business Economics

Timo Teräsvirta

  1. 2014
  2. Published

    Forecasting performances of three automated modelling techniques during the economic crisis 2007-2009. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: International Journal of Forecasting, Vol. 30, 2014, p. 616-631.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Modelling changes in the unconditional variance of long stock return series. / Amado, Cristina; Teräsvirta, Timo.

    In: Journal of Empirical Finance, Vol. 25, 2014, p. 15-35.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  4. 2013
  5. Published

    Thresholds and Smooth Transitions in Vector Autoregressive Models. / Hubrich, Kirstin; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paperResearch

  6. Published

    Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: Finnish Economic Papers, Vol. 26, No. 1, 2013, p. 13-24.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. Published

    Modelling volatility by variance decomposition. / Amado, Cristina; Teräsvirta, Timo.

    In: Journal of Econometrics, Vol. 175, No. 2, 2013, p. 142-153.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. Published

    Testing the Granger noncausality hypothesis in stationary models of unknown functional form. / Péguin-Feissolle, Anne; Strikholm, Birgit ; Teräsvirta, Timo.

    In: Communications in Statistics: Simulation and Computation, Vol. 42, 2013, p. 1063-1087.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. Published

    Thresholds and smooth transitions in vector autoregressive models. / Hubrich, Kirstin; Teräsvirta, Timo.

    VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims. ed. / Thomas B. Fomby; Lutz Kilian; Anthony Murphy. Cambridge, MA : Emerald Group Publishing, 2013. p. 273-326.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  10. Published

    Unit Roots, Non-linearities, and Structural Breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

    Handbook of Research Methods and Applications in Empirical Macroeconomics. ed. / Nigar Hashimzade; Michael A. Thornton. Cheltenham : Edward Elgar Publishing, 2013. p. 61-94.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  11. 2012
  12. Published

    Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis. / Holt, Matthew T.; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  13. Published

    Unit roots, nonlinearities and structural breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  14. Published

    Modelling Changes in the Unconditional Variance of Long Stock Return Series. / Amado, Cristina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  15. Published

    Modelling conditional correlations of asset returns: A smooth transition approach. / Silvennoinen, Annastiina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  16. Published

    Nonlinear models for autoregressive conditional heteroskedasticity. / Teräsvirta, Timo.

    Handbook of volatility models and their applications. ed. / Luc Bauwens; Christian Hafner; Sébastien Laurent. New York : John Wiley & Sons Ltd, 2012. p. 49-69.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  17. 2011
  18. Published

    Forecasting inflation with gradual regime shifts and exogenous information. / González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo.

    Frankfurt am Main : European Central Bank, 2011.

    Research output: Working paperResearch

  19. Published

    Forecasting with nonlinear time series models. / Kock, Anders Bredahl; Teräsvirta, Timo.

    Oxford Handbook of Economic Forecasting. ed. / Michael P. Clements; David F. Hendry. Oxford : Oxford University Press, 2011. p. 61-87.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  20. Published

    Nonlinear models for autoregressive conditional heteroskedasticity. / Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  21. Published

    Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations. / Amado, Cristina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  22. Published

    Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques. / Kock, Anders Bredahl; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  23. Published

    Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009. / Kock, Anders Bredahl; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  24. Published

    Modelling volatility by multiplicative decomposition of the variance. / Amado, Cristina; Teräsvirta, Timo.

    Suomen Tilastoseuran vuosikirja 2010. Helsinki : Finnish Statistical Society, 2011. p. 63-71.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  25. Published

    Modelling volatility by variance decomposition. / Amado, Cristina; Teräsvirta, Timo.

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  26. Published

    Stylized facts of return series, robust estimates, and three popular models of volatility. / Teräsvirta, Timo; Zhao, Zhenfang.

    In: Applied Financial Economics, Vol. 21, No. 1-2, 2011, p. 67-94.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  27. 2010
  28. Published

    Conditional heteroskedasticity. / Teräsvirta, Timo.

    Encyclopedia of Quantitative Finance. ed. / Rama Cont. Hoboken, N.J. : John Wiley & Sons Ltd, 2010. p. 809-820.

    Research output: Contribution to book/anthology/report/proceedingEncyclopedia entryResearchpeer-review

  29. Published

    Forecasting with nonlinear time series models. / Kock, Anders Bredahl; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  30. Published

    Modelling nonlinear economic time series. / Teräsvirta, Timo; Tjøstheim, Dag; Granger, Clive W.J.

    Oxford : Oxford University Press, 2010. 432 p.

    Research output: Book/anthology/dissertation/reportBookResearch