Member of Section: Econometrics and Business Analytics
Research Secretaries: Solveig Nygaard Sørensen and Malene Vindfeldt Skals

Professor, DPolSc.
Education: MPolSc. 1964, LicPolSc. 1968, DPolSc. 1970
Position: Professor, 2006

Timo Teräsvirta is Professor Emeritus, Aarhus University, and member of CREATES. He received his DPolSc (Econometrics) from the University of Helsinki 1970. He has been Professor of Statistics, University of Helsinki, 1976-1980, Research Fellow, Research Institute of the Finnish Economy, 1980-1989, Research Fellow, Norges Bank, 1992-1993, 1994, 2000, Professor of Econometrics, Stockholm School of Economics, 1994-2006, and Distinguished Senior Fellow at Hanken School of Economics, Helsinki, 2001-2013. He is Adjoint Professor, Queensland University of Technology, Brisbane, 2013-2016. Teräsvirta is elected member of the International Statistical Institute (since 1978), Societas Scientiarum Fennica, Helsinki (since 1978), and the Royal Academy of Sciences, Stockholm (since 2001). He is Distinguished Author of Journal of Applied Econometrics and Fellow of Journal of Econometrics. His research and teaching interests include nonlinear time series econometrics and modelling volatility

Teaching Interests

• Nonlinear Time Series Econometrics
• Volatility Modelling
• Research Interests
• Nonlinear Time Series Econometrics
• Volatility Modelling
  
  

  Selected Publications

• Luukkonen, R., P. Saikkonen and T. Teräsvirta (1988). Testing linearity against smooth transition autoregressive models. Biometrika 75, 491 499.
• Teräsvirta, T. and H.M. Anderson (1992). Characterizing nonlinearities in business cycles using smooth transition autoregressive models’ Journal of Applied Econometrics 7, S119-S136. Reprinted in: M.H. Pesaran and S. Potter, eds. (1993). Nonlinearity and chaos in econometrics, 111-128. New York: Wiley.
• Teräsvirta. T. (1994). Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association 89, 208-218. Reprinted in: P. Newbold and S.J. Leybourne, eds. (2003). Recent Developments in Time Series. Cheltenham: Elgar (2003).
• He, C. and T. Teräsvirta (1999). Fourth moment structure of the GARCH (p,q) process. Econometric Theory 15, 824-846.
• Teräsvirta, T., D. Tjøstheim and C.W.J. Granger (2010). Modelling nonlinear economic time series. Oxford: Oxford University Press. Chinese edition (2017). Shanghai: China Machine Press.
• Amado, C. and T. Teräsvirta (2013). Modelling volatility by variance decomposition. Journal of Econometrics 175, 142-153.