Department of Economics and Business Economics

Timo Teräsvirta

  1. Published

    Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis. / Holt, Matthew T.; Terasvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  2. 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: Contribution to book/anthology/report/proceedingBook chapterResearch

  3. 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 paperResearch

  4. 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 articleResearchpeer-review

  5. Published

    Modelling Changes in the Unconditional Variance of Long Stock Return Series. / Amado, Cristina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  6. Published

    Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. / Amado, Christina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  7. 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: Working paperResearch

  8. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  9. Published

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

    In: Central European Journal of Economic Modelling and Econometrics, Vol. 9, No. 3, 2017, p. 173-200.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. 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: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. 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 articleResearchpeer-review

  12. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  13. 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: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. Published

    Modelling nonlinear economic relationships. / Granger, Clive W.J.; Terasvirta, Timo.

    Chinese Edition ed. Beijing : China Machine Press, 2017.

    Research output: Book/anthology/dissertation/reportBookResearchpeer-review

  15. Published

    Modelling nonlinear economic time series. / Terasvirta, Timo; Tjøstheim, Dag; Granger, Clive W.J.

    Chinese Edition ed. Beijing : China Machine Press, 2017.

    Research output: Book/anthology/dissertation/reportBookResearchpeer-review

  16. Published

    Modelling nonlinear economic time series. / Teräsvirta, Timo; Tjøstheim, Dag; Granger, Clive W.J.

    Oxford : Oxford University Press, 2010. 432 p.

    Research output: Book/anthology/dissertation/reportBookResearch

  17. Published

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

    Suomen Tilastoseuran vuosikirja 2010. Helsinki : Finnish Statistical Society, 2011. p. 63-71.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  18. Published

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

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  19. Published

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

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

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  20. Published

    Models with Multiplicative Decomposition of Conditional Variances and Correlations. / Amado, Cristina; Silvennoinen, Annastiina; Terasvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paperResearch

  21. Published

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

    Handbook of Financial Time Series. ed. / Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiss; Thomas Mikosch. Berlin, 2009. p. 201-229.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  22. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  23. Published

    Nonlinear models for autoregressive conditional heteroskedasticity. / Teräsvirta, Timo.

    Handbook of volatility models and their applications. ed. / Luc Bauwens; Christian Hafner; Sébastien Laurent. New York : John Wiley & Sons Ltd, 2012. p. 49-69.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  24. Published

    Nonlinear models for autoregressive conditional heteroskedasticity. / Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  25. Published

    Nonlinear models in macroeconometrics. / Terasvirta, Timo.

    Oxford Research Encyclopedias in Economics and Finance. Oxford : Oxford University Press, 2018.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review