Department of Economics and Business Economics

Timo Teräsvirta

  1. 2013
  2. Published

    Thresholds and Smooth Transitions in Vector Autoregressive Models. / Hubrich, Kirstin; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper

  3. Published

    Book Review of "Dynamic Models for Volatility and Heavy Tails: with Applications to Financial and Economic Time Series" by Andrew C. Harvey. / Teräsvirta, Timo.

    In: Journal of Economic Literature, Vol. 51, No. 4, 12.2013, p. 1190-1192.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperLiterature review

  4. 2014
  5. 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: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  6. Published

    Forecasting performances of three automated modelling techniques during the economic crisis 2007-2009. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: International Journal of Forecasting, Vol. 30, 2014, p. 616-631.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  7. 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: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  8. Published

    A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model. / Catani, Paul; Teräsvirta, Timo; Yin, Meiqun.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper

  9. Published

    Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. / Teräsvirta, Timo; Yang, Yukai.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper

  10. Published

    A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. / Hurn, A.S.; Silvennoinen, Annastiina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper

  11. 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: Working paper

  12. 2015
  13. Published

    Modeling conditional correlations of asset returns : A smooth transition approach. / Silvennoinen, Annastiina; Teräsvirta, Timo.

    In: Econometric Reviews, Vol. 34, No. 1-2, 2015, p. 174-197.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article