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 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
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
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
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
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
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
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
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