Department of Economics and Business Economics

Timo Teräsvirta

  1. Journal article › Research › Peer-reviewed
  2. 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: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Testing constancy of unconditional variance in volatility models by misspecification and specification tests. / Silvennoinen, Annastiina; Terasvirta, Timo.

    In: Studies in Nonlinear Dynamics and Econometrics (Online), Vol. 20, No. 4, 2016, p. 347-364.

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

  4. Published

    Testing for volatility interactions in the Constant Conditional Correlation GARCH model. / Nakatani, Tomoaki; Teräsvirta, Timo.

    In: Econometrics Journal, Vol. 12, No. 1, 2009, p. 147-163.

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

  5. Published

    Testing parameter constancy in stationary vector autoregressive models against continuous change. / He, Changli; González, Andrés; Teräsvirta, Timo.

    In: Econometric Reviews, Vol. 28, No. 1-3, 2009, p. 225-245.

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

  6. Published

    Testing parameter constancy in vector autoregressive models against continuous change. / Strikholm, Birgit; Teräsvirta, Timo.

    In: Econometrics Journal, Vol. 9, 2006, p. 472-491.

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

  7. Published

    Testing the Granger noncausality hypothesis in stationary models of unknown functional form. / Péguin-Feissolle, Anne; Strikholm, Birgit ; Teräsvirta, Timo.

    In: Communications in Statistics: Simulation and Computation, Vol. 42, 2013, p. 1063-1087.

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

  8. Literature review › Communication
  9. 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 reviewCommunication

  10. Book › Research › Not peer-reviewed
  11. 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

  12. Book › Research › Peer-reviewed
  13. 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

  14. 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

  15. Book chapter › Research › Not peer-reviewed
  16. Published

    Forecasting economic variables with nonlinear models. / Teräsvirta, Timo.

    Handbook of economic forecasting. ed. / G. Elliott; C.W.J. Granger; A. Timmermann. Vol. 1 Amsterdam : Pergamon Press, 2006. p. 413-457.

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

  17. 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

  18. 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

  19. 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

  20. Published

    Smooth transition regression modeling. / Teräsvirta, Timo.

    Applied Time Series Econometrics. ed. / Helmut Lütkepohl; Markus Krätzig. China Machine Press, 2009. p. 172-187.

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

  21. Published

    Univariate time series models. / Teräsvirta, Timo.

    Palgrave Handbook of econometrics: Econometric Theory. ed. / K. Patterson; T.C. Mills. Vol. 1 Basingstoke : Palgrave Macmillan, 2006. p. 396-424.

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

  22. Book chapter › Research › Peer-reviewed
  23. Published

    Forecasting with nonlinear time series models. / Kock, Anders Bredahl; Teräsvirta, Timo.

    Oxford Handbook of Economic Forecasting. ed. / Michael P. Clements; David F. Hendry. Oxford : Oxford University Press, 2011. p. 61-87.

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

  24. Accepted/In press

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

    Handbook of Applied Financial Econometrics: Track: Financial Volatility and Covariance Modelling. ed. / Julien Chevallier; S. Goutte; D. Guerreiro; S. Saglio; Bilel Sanjahi. Vol. 2 Routledge, 2018.

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

  25. 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

  26. 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

  27. Published

    Thresholds and smooth transitions in vector autoregressive models. / Hubrich, Kirstin; Teräsvirta, Timo.

    VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims. ed. / Thomas B. Fomby; Lutz Kilian; Anthony Murphy. Cambridge, MA : Emerald Group Publishing, 2013. p. 273-326.

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

  28. Published

    Unit Roots, Non-linearities, and Structural Breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

    Handbook of Research Methods and Applications in Empirical Macroeconomics. ed. / Nigar Hashimzade; Michael A. Thornton. Cheltenham : Edward Elgar Publishing, 2013. p. 61-94.

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

  29. Book chapter › Communication
  30. Published

    Clive William John Granger 1934-2009. / Hendry, David F.; Teräsvirta, Timo.

    Biographical Memoirs of Fellows of the British Academy, XII. Oxford : Oxford University Press, 2013. p. 453-469.

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

  31. Encyclopedia entry › Research › Peer-reviewed
  32. Published

    Conditional heteroskedasticity. / Teräsvirta, Timo.

    Encyclopedia of Quantitative Finance. ed. / Rama Cont. Hoboken, N.J. : John Wiley & Sons Ltd, 2010. p. 809-820.

    Research output: Contribution to book/anthology/report/proceedingEncyclopedia entryResearchpeer-review

  33. Working paper › Research › Not peer-reviewed
  34. 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 paperResearch