Department of Economics and Business Economics

Timo Teräsvirta

  1. 2019
  2. Published

    Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. / He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2019. p. 1-34.

    Research output: Working paperResearch

  3. Published

    Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model. / Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2019. p. 1-44.

    Research output: Working paperResearch

  4. Published

    Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. / He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2019. p. 1-77.

    Research output: Working paperResearch

  5. Accepted/In press

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

    In: Journal of Econometrics, 2019.

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

  6. Published

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

    Financial Mathematics, Volatility and Covariance Modelling. ed. / Julien Chevallier; Stéphane Goutte; David Guerreiro; Sophie Saglio; Bilel Sanjahi. Vol. 2 Routledge, 2019. p. 217-260 (Routledge Advances in Applied Financial Econometrics).

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

  7. Published

    The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016. / He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua.

    In: Econometrics and Statistics, Vol. 12, 2019, p. 1-24.

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

  8. 2018
  9. Published

    Transition from the Taylor rule to the zero lower bound. / Hurn, Stan; Johnson, Nicholas; Silvennoinen, Annastiina; Terasvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018. p. 21.

    Research output: Working paperResearch

  10. Published

    Nonlinear models in macroeconometrics. / Terasvirta, Timo.

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

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

  11. 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

  12. Published

    The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016. / He, Changli; Kang, Jian; Terasvirta, Timo; Zhang, Shuhua.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paperResearch

  13. 2017
  14. Published

    Panel Smooth Transition Regression Models. / González, Andrés; Terasvirta, Timo; Dijk, Dick van; Yang, Yukai.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  15. Published

    Nonlinear models in macroeconometrics. / Terasvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  16. Published

    Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. / Silvennoinen, Annestiina; Terasvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  17. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  18. 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

  19. 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

  20. 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

  21. Published

    Sir Clive Granger’s contributions to nonlinear time series and econometrics. / Terasvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  22. Published

    A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model. / Catani, Paul; Terasvirta, Timo; Yin, Meiqun.

    In: Econometric Reviews, Vol. 36, No. 6-9, 2017, p. 599-621.

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

  23. 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

  24. Published

    Sir Clive Granger's contributions to nonlinear time series and econometrics. / Terasvirta, Timo.

    In: European Journal of Pure and Applied Mathematics, Vol. 10, No. 1, 2017, p. 104-132.

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

  25. Published

    Specification and testing of Multiplicative Time-Varying GARCH models with applications. / Amado, Cristina; Teräsvirta, Timo.

    In: Econometric Reviews, Vol. 36, No. 4, 2017, p. 421-446.

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

  26. 2016
  27. Published

    A smooth transition logit model of the effects of deregulation in the electricity market. / Hurn, A. Stan; Silvennoinen, Annastiina; Teräsvirta, Timo.

    In: Journal of Applied Econometrics, Vol. 31, No. 4, 2016, p. 707-733.

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

  28. Published

    Forecasting macroeconomic variables using neural network models and three automated model selection techniques. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: Econometric Reviews, Vol. 35, No. 8-10, 2016, p. 1753-1779.

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

  29. 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

  30. 2015
  31. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paperResearch

  32. 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

  33. 2014
  34. 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 paperResearch

  35. 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 paperResearch

  36. 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

  37. 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

  38. 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 articleResearchpeer-review

  39. 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 articleResearchpeer-review

  40. 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

  41. 2013
  42. 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

  43. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paperResearch

  44. 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

  45. Published

    Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: Finnish Economic Papers, Vol. 26, No. 1, 2013, p. 13-24.

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

  46. 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

  47. 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

  48. 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 (Advances in Econometrics, Vol. 32).

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

  49. 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 (Handbook of Research Methods and Applications series).

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

  50. 2012
  51. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  52. Published

    Unit roots, nonlinearities and structural breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  53. 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

  54. 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

  55. 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 (Wiley Handbooks in Financial Engineering and Econometrics).

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

  56. 2011
  57. Published

    Forecasting inflation with gradual regime shifts and exogenous information. / González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo.

    Frankfurt am Main : European Central Bank, 2011.

    Research output: Working paperResearch

  58. 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

  59. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  60. Published

    Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations. / Amado, Cristina; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  61. Published

    Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques. / Kock, Anders Bredahl; Teräsvirta, Timo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  62. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  63. 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

  64. Published

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

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

    Research output: Working paperResearch

  65. Published

    Stylized facts of return series, robust estimates, and three popular models of volatility. / Teräsvirta, Timo; Zhao, Zhenfang.

    In: Applied Financial Economics, Vol. 21, No. 1-2, 2011, p. 67-94.

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

  66. 2010
  67. 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

  68. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  69. 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

  70. Published

    Sir Clive William John Granger, 1934-2009. / Teräsvirta, Timo.

    In: New Zealand Economic Papers, Vol. 44, No. 2, 2010, p. 121-127.

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

  71. Published

    Stylized facts of financial time series and three popular models of volatility. / Malmsten, Hans; Teräsvirta, Timo.

    In: European Journal of Pure and Applied Mathematics, Vol. 3, No. 3, 2010, p. 443-477.

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

  72. Published

    Working with Clive Granger: two short memories. / Teräsvirta, Timo.

    In: Journal of Financial Econometrics, Vol. 8, No. 2, 2010, p. 191-192.

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

  73. 2009
  74. Published

    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 paperResearch

  75. 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

  76. 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

  77. 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

  78. 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

  79. 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

  80. 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

  81. 2008
  82. 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

  83. 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

  84. 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

  85. Published

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

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  86. Published

    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 newspaperJournal articleResearchpeer-review

  87. Published

    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 paperResearch

  88. Published

    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 newspaperJournal articleResearchpeer-review

  89. Published

    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 paperResearch

  90. 2007
  91. 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

  92. 2006
  93. Published

    A time series model for an exchange rate in a target zone with applications. / Lundbergh, Stefan; Teräsvirta, Timo.

    In: Journal of Econometrics, Vol. 131, 2006, p. 579-609.

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

  94. Published

    Building neural network models for time series : A statistical approach. / Medeiros, Marcelo C.; Teräsvirta, Timo; Rech, Gianluigi.

    In: Journal of Forecasting, Vol. 25, 2006, p. 49-75.

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

  95. Published

    Common features in conditional distributions for bivariate time series. / Granger, Clive W.J.; Patton, Andrew J.; Teräsvirta, Timo.

    In: Journal of Econometrics, Vol. 132, 2006, p. 43-57.

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

  96. Published

    Evaluating models of autoregressive conditional duration. / Meitz, Mika; Teräsvirta, Timo.

    In: Journal of Business and Economic Statistics, Vol. 24, 2006, p. 104-124.

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

  97. 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

  98. Published

    Simulation-based finite-sample linearity test against smooth transition models. / González, Andrés; Teräsvirta, Timo.

    In: Oxford Bulletin of Economics and Statistics, Vol. 68, 2006, p. 797-812.

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

  99. 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

  100. 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