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 newspaper › Journal article
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 newspaper › Journal article
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 newspaper › Journal article
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 newspaper › Journal article
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 newspaper › Journal article
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 newspaper › Journal article
Forecasting economic variables with nonlinear models. / Teräsvirta, Timo.
Handbook of economic forecasting. ed. / G. Elliott; C.W.J. Granger; A. Timmermann. Vol. 1 Amsterdam : Pergamon Press, 2006. p. 413-457.Research output: Contribution to book/anthology/report/proceeding › Book chapter
Univariate time series models. / Teräsvirta, Timo.
Palgrave Handbook of econometrics: Econometric Theory. ed. / K. Patterson; T.C. Mills. Vol. 1 Basingstoke : Palgrave Macmillan, 2006. p. 396-424.Research output: Contribution to book/anthology/report/proceeding › Book chapter
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 newspaper › Journal article
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 newspaper › Journal article
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 newspaper › Journal article
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 newspaper › Journal article
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. / Amado, Christina; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper
Parameterizing unconditional skewness in models for financial time series. / He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper
Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. / Péguin-Feissolle, Anne; Strikholm, Birgit; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper
Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. / Silvennoinen, Annastiina; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper
Multivariate GARCH models. / Silvennoinen, Annastiina; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper
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 newspaper › Journal article
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 newspaper › Journal article
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 newspaper › Journal article
Multivariate GARCH models. / Silvennoinen, Annastiina; Teräsvirta, Timo.
Handbook of Financial Time Series. ed. / Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiss; Thomas Mikosch. Berlin, 2009. p. 201-229.Research output: Contribution to book/anthology/report/proceeding › Book chapter
Introduction to univariate GARCH models. / Teräsvirta, Timo.
Handbook of Financial Time Series. ed. / Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiss; Thomas Mikosch. Berlin : Springer, 2009. p. 17-42.Research output: Contribution to book/anthology/report/proceeding › Book chapter
Smooth transition regression modeling. / Teräsvirta, Timo.
Applied Time Series Econometrics. ed. / Helmut Lütkepohl; Markus Krätzig. China Machine Press, 2009. p. 172-187.Research output: Contribution to book/anthology/report/proceeding › Book chapter
Forecasting inflation with gradual regime shifts and exogenous information. / González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.Research output: Working paper
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 newspaper › Journal article
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 newspaper › Journal article
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 newspaper › Journal article
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/report › Book
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
Forecasting with nonlinear time series models. / Kock, Anders Bredahl; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.Research output: Working paper
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
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
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
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
Modelling volatility by variance decomposition. / Amado, Cristina; Teräsvirta, Timo.
Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2011.Research output: Working paper
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
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
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
Nonlinear models for autoregressive conditional heteroskedasticity. / Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.Research output: Working paper
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
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
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
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
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
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
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
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
Book Review of "Dynamic Models for Volatility and Heavy Tails: with Applications to Financial and Economic Time Series" by Andrew C. Harvey. / Teräsvirta, Timo.
In: Journal of Economic Literature, Vol. 51, No. 4, 12.2013, p. 1190-1192.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Literature 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, Incorporated, 2013. p. 61-94.Research output: Contribution to book/anthology/report/proceeding › Book chapter
Clive William John Granger 1934-2009. / Hendry, David F.; Teräsvirta, Timo.
Biographical Memoirs of Fellows of the British Academy, XII. Oxford : Oxford University Press, 2013. p. 453-469.Research output: Contribution to book/anthology/report/proceeding › Book chapter