Department of Economics and Business Economics

Timo Teräsvirta

  1. 2008
  2. Published

    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: ResearchWorking paper

  3. 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

  4. Published

    Multivariate GARCH models. / Silvennoinen, Annastiina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: ResearchWorking paper

  5. Published

    Parameterizing unconditional skewness in models for financial time series. / He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: ResearchWorking paper

  6. Published

    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: Research - peer-reviewJournal article

  7. Published

    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: Research - peer-reviewJournal article

  8. Published

    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: ResearchWorking paper

  9. 2009
  10. Published

    Forecasting inflation with gradual regime shifts and exogenous information. / González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: ResearchWorking paper

  11. Published

    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: ResearchBook chapter

  12. Published

    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: Research - peer-reviewJournal article