Department of Economics and Business Economics

Timo Teräsvirta

  1. Journal article
  2. 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: Research - peer-reviewJournal article

  3. Published

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

    In: Central European Journal of Economic Modelling and Econometrics, Vol. 9, 2017, p. 173-200.

    Research output: Research - peer-reviewJournal article

  4. 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: Research - peer-reviewJournal article

  5. Published

    Modelling volatility by variance decomposition. / Amado, Cristina; Teräsvirta, Timo.

    In: Journal of Econometrics, Vol. 175, No. 2, 2013, p. 142-153.

    Research output: Research - peer-reviewJournal article

  6. 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: Research - peer-reviewJournal article

  7. 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, 2017, p. 599-621.

    Research output: Research - peer-reviewJournal article

  8. 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

  9. 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: Research - peer-reviewJournal article

  10. 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: Research - peer-reviewJournal article

  11. 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: Research - peer-reviewJournal article

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