A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model. / Catani, Paul; Teräsvirta, Timo; Yin, Meiqun.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.Research output: Working paper › Research
Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations. / Amado, Cristina; Teräsvirta, Timo.
In: Journal of Business and Economic Statistics, Vol. 32, No. 1, 2014, p. 69-87.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
Thresholds and Smooth Transitions in Vector Autoregressive Models. / Hubrich, Kirstin; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.Research output: Working paper › Research
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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/proceeding › Book chapter › Research › peer-review
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/proceeding › Book chapter › Research › peer-review
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 paper › Research
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 paper › Research
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 paper › Research
Modelling conditional correlations of asset returns: A smooth transition approach. / Silvennoinen, Annastiina; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.Research output: Working paper › Research
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/proceeding › Book chapter › Research › peer-review
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 paper › Research
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/proceeding › Book chapter › Research › peer-review
Nonlinear models for autoregressive conditional heteroskedasticity. / Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.Research output: Working paper › Research
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 paper › Research
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 paper › Research
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 paper › Research
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/proceeding › Book chapter › Research
Modelling volatility by variance decomposition. / Amado, Cristina; Teräsvirta, Timo.
Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2011.Research output: Working paper › Research
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 newspaper › Journal article › Research › peer-review
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/proceeding › Encyclopedia entry › Research › peer-review