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 › Research › peer-review
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 › Research › peer-review
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 › Research › peer-review
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 › Research
Multivariate GARCH models. / Silvennoinen, Annastiina; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper › Research
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 › Research
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 › Research
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 › Research
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 › Research › peer-review
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 › Research › peer-review