Department of Economics and Business Economics

Timo Teräsvirta

  1. Published

    Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. / Teräsvirta, Timo; Yang, Yukai.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: ResearchWorking paper

  2. 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: Research - peer-reviewJournal article

  3. 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: Research - peer-reviewJournal article

  4. 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: Research - peer-reviewJournal article

  5. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: ResearchWorking paper

  6. 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: Research - peer-reviewJournal article

  7. 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: Research - peer-reviewJournal article

  8. 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: Research - peer-reviewJournal article

  9. 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: Research - peer-reviewJournal article

  10. 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: Research - peer-reviewJournal article

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