Department of Economics and Business Economics

Timo Teräsvirta

  1. Journal article › Research › Not peer-reviewed
  2. Published

    Sir Clive William John Granger, 1934-2009. / Teräsvirta, Timo.

    In: New Zealand Economic Papers, Vol. 44, No. 2, 2010, p. 121-127.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  3. Published

    Working with Clive Granger: two short memories. / Teräsvirta, Timo.

    In: Journal of Financial Econometrics, Vol. 8, No. 2, 2010, p. 191-192.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  4. Journal article › Research › Peer-reviewed
  5. Published

    A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model. / Catani, Paul; Terasvirta, Timo; Yin, Meiqun.

    In: Econometric Reviews, Vol. 36, No. 6-9, 2017, p. 599-621.

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

  6. Published

    A smooth transition logit model of the effects of deregulation in the electricity market. / Hurn, A. Stan; Silvennoinen, Annastiina; Teräsvirta, Timo.

    In: Journal of Applied Econometrics, Vol. 31, No. 4, 2016, p. 707-733.

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

  7. Published

    A time series model for an exchange rate in a target zone with applications. / Lundbergh, Stefan; Teräsvirta, Timo.

    In: Journal of Econometrics, Vol. 131, 2006, p. 579-609.

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

  8. Published

    Building neural network models for time series : A statistical approach. / Medeiros, Marcelo C.; Teräsvirta, Timo; Rech, Gianluigi.

    In: Journal of Forecasting, Vol. 25, 2006, p. 49-75.

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

  9. Published

    Common features in conditional distributions for bivariate time series. / Granger, Clive W.J.; Patton, Andrew J.; Teräsvirta, Timo.

    In: Journal of Econometrics, Vol. 132, 2006, p. 43-57.

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

  10. Published

    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 newspaperJournal articleResearchpeer-review

  11. Published

    Evaluating models of autoregressive conditional duration. / Meitz, Mika; Teräsvirta, Timo.

    In: Journal of Business and Economic Statistics, Vol. 24, 2006, p. 104-124.

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

  12. Published

    Forecasting macroeconomic variables using neural network models and three automated model selection techniques. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: Econometric Reviews, Vol. 35, No. 8-10, 2016, p. 1753-1779.

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

  13. 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

  14. 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

  15. Published

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

    In: Econometric Reviews, Vol. 34, No. 1-2, 2015, p. 174-197.

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

  16. Published

    Modelling and forecasting WIG20 daily returns. / Amado, Cristina; Silvennoinen, Annastiina; Terasvirta, Timo.

    In: Central European Journal of Economic Modelling and Econometrics, Vol. 9, No. 3, 2017, p. 173-200.

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

  17. Published

    Modelling autoregressive processes with a shifting mean. / González, Andrés; Teräsvirta, Timo.

    In: Studies in Nonlinear Dynamics and Econometrics (Online), Vol. 12, No. 1, 2008, p. Article 1.

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

  18. 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

  19. Published

    Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model. / Silvennoinen, Annastiina; Teräsvirta, Timo.

    In: Journal of Financial Econometrics, Vol. 7, No. 4, 2009, p. 373-411.

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

  20. 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

  21. Published

    Parameterizing unconditional skewness in models for financial time series. / He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo.

    In: Journal of Financial Econometrics, Vol. 6, No. 2, 2008, p. 208-230.

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

  22. Published

    Positivity constraints on the conditional variances in the family of conditional correlation GARCH models. / Nakatani, Tomoaki; Teräsvirta, Timo.

    In: Finance Research Letters, Vol. 5, No. 2, 2008, p. 88-95.

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

  23. Published

    Simulation-based finite-sample linearity test against smooth transition models. / González, Andrés; Teräsvirta, Timo.

    In: Oxford Bulletin of Economics and Statistics, Vol. 68, 2006, p. 797-812.

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

  24. Published

    Sir Clive Granger's contributions to nonlinear time series and econometrics. / Terasvirta, Timo.

    In: European Journal of Pure and Applied Mathematics, Vol. 10, No. 1, 2017, p. 104-132.

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

  25. Published

    Specification and testing of Multiplicative Time-Varying GARCH models with applications. / Amado, Cristina; Teräsvirta, Timo.

    In: Econometric Reviews, Vol. 36, No. 4, 2017, p. 421-446.

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

  26. Published

    Stylized facts of financial time series and three popular models of volatility. / Malmsten, Hans; Teräsvirta, Timo.

    In: European Journal of Pure and Applied Mathematics, Vol. 3, No. 3, 2010, p. 443-477.

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

  27. 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

  28. Published

    Testing constancy of the error covariance matrix in vector models. / Eklund, Bruno; Teräsvirta, Timo.

    In: Journal of Econometrics, Vol. 140, 2007, p. 753-780.

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

  29. Published

    Testing constancy of unconditional variance in volatility models by misspecification and specification tests. / Silvennoinen, Annastiina; Terasvirta, Timo.

    In: Studies in Nonlinear Dynamics and Econometrics (Online), Vol. 20, No. 4, 2016, p. 347-364.

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

  30. Published

    Testing for volatility interactions in the Constant Conditional Correlation GARCH model. / Nakatani, Tomoaki; Teräsvirta, Timo.

    In: Econometrics Journal, Vol. 12, No. 1, 2009, p. 147-163.

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

  31. Published

    Testing parameter constancy in stationary vector autoregressive models against continuous change. / He, Changli; González, Andrés; Teräsvirta, Timo.

    In: Econometric Reviews, Vol. 28, No. 1-3, 2009, p. 225-245.

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

  32. Published

    Testing parameter constancy in vector autoregressive models against continuous change. / Strikholm, Birgit; Teräsvirta, Timo.

    In: Econometrics Journal, Vol. 9, 2006, p. 472-491.

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

  33. 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