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
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
Multivariate GARCH models. / Silvennoinen, Annastiina; 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
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
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
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
Forecasting inflation with gradual regime shifts and exogenous information. / González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.Research output: Working paper
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: Contribution to book/anthology/report/proceeding › Book chapter
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