T. Teräsvirta

发表

Modelling Nonlinear Economic Relationships

C. Granger, T. Teräsvirta, 1995 .

Common Factors in Conditional Distributions for Bivariate Time Series

Andrew J. Patton, C. Granger, T. Teräsvirta, 2003 .

Usefulness of proxy variables in linear models with stochastic regressors

T. Teräsvirta, 1987 .

Time-Varying Smooth Transition Autoregressive Models

T. Teräsvirta, Dick J. C. van Dijk, S. Lundbergh, 2003 .

Model selection criteria and model selection tests in regression models

T. Teräsvirta, I. Mellin, 1986 .

Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models

T. Teräsvirta, H. Anderson, 1992 .

Linearity and misspecification tests for vector smooth transition regression models

Yukai Yang, Timo Teräsvirta, T. Teräsvirta, 2014 .

Univariate nonlinear time series models

T. Teräsvirta, 2005 .

Power Properties of Linearity Tests for Time Series

Timo Teräsvirta, T. Teräsvirta, 1996 .

Testing linearity against smooth transition autoregressive models

Timo Teräsvirta, Pentti Saikkonen, Ritva Luukkonen, 1988 .

Finding Starting-Values for the Estimation of

T. Teräsvirta, Frauke Schleer, 2015 .

Panel Smooth Transition Regression Models

Yukai Yang, Timo Teräsvirta, Dick van Dijk, 2005 .

Parameterizing Unconditional Skewness in Models for Financial Time Series

T. Teräsvirta, Timo Terasvirta, Annastiina Silvennoinen, 2007 .

Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

T. Teräsvirta, 1994 .

Evaluating GARCH models

T. Teräsvirta, S. Lundbergh, 2002 .

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination

M. Medeiros, D. Dijk, T. Teräsvirta, 2005 .

Stylized Facts of Daily Return Series and the Hidden Markov Model

T. Rydén, T. Teräsvirta, S. Åsbrink, 1998 .

Two Stylized Facts and the Garch (1,1) Model

T. Teräsvirta, 1996 .

Stylized facts of return series, robust estimates and three popular models of volatility

T. Teräsvirta, Zhenfang Zhao, 2011 .

Building Neural Network Models for Time Series: A Statistical Approach

M. Medeiros, T. Teräsvirta, G. Rech, 2002 .

“ Modelling and forecasting WIG 20 daily returns ”

T. Teräsvirta, Annastiina Silvennoinen, Cristina Amado, 2017 .

Specification and testing of multiplicative time-varying GARCH models with applications

Timo Teräsvirta, Cristina Amado, T. Teräsvirta, 2017 .

Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations

Timo Teräsvirta, Cristina Amado, T. Teräsvirta, 2014 .

Properties of Moments of a Family of GARCH Processes

Timo Teräsvirta, Changli He, T. Teräsvirta, 1999 .

An Introduction to Univariate GARCH Models

Timo Teräsvirta, T. Teräsvirta, 2006 .

Modelling changes in the unconditional variance of long stock return series

Timo Teräsvirta, Cristina Amado, T. Teräsvirta, 2012 .

Modelling volatility by variance decomposition

Timo Teräsvirta, Cristina Amado, T. Teräsvirta, 2013 .

FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS

Timo Teräsvirta, Changli He, T. Teräsvirta, 1999, Econometric Theory.

POWER OF THE NEURAL NETWORK LINEARITY TEST

Timo Teräsvirta, Clive W. J. Granger, C. Granger, 1993 .

The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016

T. Teräsvirta, Changli He, Jian Kang, 2019, Econometrics and Statistics.

Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model

T. Teräsvirta, J. Cho, Dakyung Seong, 2019 .

Testing the constancy of regression parameters against continuous structural change

Timo Teräsvirta, T. Teräsvirta, C. Lin, 1994 .

Sir Clive W.J. Granger's Contributions to Nonlinear Time Series and Econometrics

T. Teräsvirta, 2017 .

The Effects of Institutional and Technological Change and Business Cycle Fluctuations on Seasonal Patterns in Quarterly Industrial Production Series

Timo Teräsvirta, Dick J. C. van Dijk, Birgit Strikholm, 2001 .

www.econstor.eu Forecasting economic variables with nonlinear models

T. Teräsvirta, 2005 .

Forecasting economic variables with nonlinear models

Timo Teräsvirta, T. Teräsvirta, 2005 .

Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis

T. Teräsvirta, M. Holt, 2017 .

Nonlinear models for autoregressive conditional heteroskedasticity

T. Teräsvirta, 2011 .

MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS

Timo Teräsvirta, Changli He, T. Teräsvirta, 2002, Econometric Theory.

Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis

T. Teräsvirta, M. Holt, 2012 .

A Sequential Procedure for Determining the Number of Regimes in a Threshold Autoregressive Model

Timo Teräsvirta, Birgit Strikholm, T. Teräsvirta, 2006 .

Modelling asymmetries and moving equilibria in unemployment rates by Joakim Skalin and

Timo Teräsvirta, T. Teräsvirta, 2022 .

Unit roots , nonlinearities and structural breaks 1

T. Teräsvirta, N. Haldrup, Robinson Kruse, 2012 .

Business survey data in forecasting the output of swedish and finnish metal and engineering industries: A kalman filter approach

Timo Teräsvirta, Markku Rahiala, T. Teräsvirta, 1993 .

A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market

T. Teräsvirta, A. Hurn, Annastiina Silvennoinen, 2016 .

Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model

T. Teräsvirta, A. Hall, Annastiina Silvennoinen, 2021 .

Error correction in DHSY

T. Teräsvirta, Ann-Charlotte Eliasson, 2002 .

A note on predicting with seemingly unrelated degression equations

T. Teräsvirta, 1975 .

Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

T. Teräsvirta, J. Cho, Dakyung Seong, 2022, Econometric Reviews.

A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model

T. Teräsvirta, Annastiina Silvennoinen, Jian Kang, 2022, Econometrics.

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

T. Teräsvirta, Changli He, Jian Kang, 2021 .

FORECASTING THE FINNISH CONSUMER PRICE INFLATION USING ARTIFICIAL NEURAL NETWORK MODELS AND THREE AUTOMATED MODEL SELECTION TECHNIQUES

A. Kock, T. Teräsvirta, 2013 .

Mink And Muskrat Interaction:A Structural Analysis

T. Teräsvirta, 1985 .

Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model

T. Teräsvirta, Changli He, Jian Kang, 2019 .

Concepts, models, and definitions

Timo Teräsvirta, Dag Tjøstheim, W. J. Granger, 2010 .

Algorithms for estimating parametric nonlinear models

Timo Teräsvirta, Dag Tjøstheim, W. J. Granger, 2010 .

Forecasting from nonlinear models

Timo Teräsvirta, Dag Tjøstheim, W. J. Granger, 2010 .

Nonparametric specification tests

Dag Tjøstheim, W. J. Granger, Timo Teräsvirta, 2010 .

Building nonlinear models

Timo Teräsvirta, Dag Tjøstheim, W. J. Granger, 2010 .

MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES

Timo Teräsvirta, Joakim Skalin, T. Teräsvirta, 1999, Macroeconomic Dynamics.

Underestimation of mean square error matrix in misspecified linear models

T. Teräsvirta, 1982 .

Modelling nonlinear economic time series

Timo Teräsvirta, Clive W. J. Granger, Dag Tjøstheim, 2010 .

Superiority comparisons between mixed regression estimators

T. Teräsvirta, 1988 .

Superiority comparisons of heterogeneous linear estimators

Timo Teräsvirta, T. Teräsvirta, 1982 .

Some results on improving the least squares estimation of linear models by mixed estimation

T. Teräsvirta, 1981 .

A comparison of mixed and minimax estimators of linear models

T. Teräsvirta, 1981 .

The polynomial distributed lag revisited

T. Teräsvirta, 1980 .

Testing the adequacy of smooth transition autoregressive models

Timo Teräsvirta, Øyvind Eitrheim, T. Teräsvirta, 1996 .

Forecasting the consumption of alcoholic beverages in Finland: A box-Jenkins approach

Timo Teräsvirta, T. Teräsvirta, E. Leskinen, 1976 .

Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions

Timo Teräsvirta, Birgit Strikholm, T. Teräsvirta, 2005 .

Smooth transition autoregressive models - A survey of recent developments

Timo Teräsvirta, Dick van Dijk, Philip Hans Franses, 2000 .

Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer.

Timo Teräsvirta, Annastiina Silvennoinen, T. Teräsvirta, 2008 .

Chapter 8 Forecasting economic variables with nonlinear models

Timo Teräsvirta, T. Teräsvirta, 2006 .

Smooth transition autoregressions , neural networks , and linear models in forecasting macroeconomic time series : A re-examination

Timo Teräsvirta, Marcelo C. Medeiros, Dick van Dijk, 2003 .

Statistical methods for modelling neural networks

Timo Teräsvirta, Marcelo C. Medeiros, T. Teräsvirta, 2001 .

Linear Model Selection

T. Teräsvirta, I. Mellin, 2006 .

Smoothness in Regression: Asymptotic Considerations

T. Teräsvirta, 1987 .

The extended Stein procedure for simultaneous model selection and parameter estimation

G. Judge, T. Teräsvirta, T. Yancey, 1987 .

Long memory and nonlinear time series

J. Davidson, T. Teräsvirta, 2002 .

Models with multiplicative decomposition of conditional variances and correlations

T. Teräsvirta, Annastiina Silvennoinen, Cristina Amado, 2018, Financial Mathematics, Volatility and Covariance Modelling.

Higher-order dependence in the general Power ARCH process and a special case

Timo Teräsvirta, Changli He, T. Teräsvirta, 2008 .

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

T. Teräsvirta, Changli He, 2002 .

Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques

Anders Bredahl Kock, Timo Teräsvirta, T. Teräsvirta, 2016 .

Research Paper 2011-2 Nonlinear models for autoregressive conditional heteroskedasticity

T. Teräsvirta, 2011 .

Modelling Autoregressive Processes with a Shifting Mean

Timo Teräsvirta, Andrés González, T. Teräsvirta, 2006 .

Simulation-Based Finite Sample Linearity Test Against Smooth Transition Models

T. Teräsvirta, Andrés González, 2006 .

A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS

Timo Teräsvirta, Gianluigi Rech, Rolf Tschernig, 2001 .

Aspects of modelling nonlinear time series

Timo Teräsvirta, Clive W. J. Granger, Dag Tjøstheim, 1986 .

Investigating Stability and Linearity of a German M1 Money Demand Function

Helmut Lütkepohl, Timo Teräsvirta, T. Teräsvirta, 1999 .

Transition from the Taylor rule to the zero lower bound

T. Teräsvirta, Annastiina Silvennoinen, S. Hurn, 2018, Studies in Nonlinear Dynamics & Econometrics.

Modelling the Dynamic Relationship between Wages and Prices in Finland

T. Teräsvirta, P. Saikkonen, 1985 .

Testing Linearity of Economic Time Series against Cyclical Asymmetry

T. Teräsvirta, R. Luukkonen, 2016 .

Specification, estimation and evaluation of vector smooth transition autoregressive models with applications

Yukai Yang, Timo Teräsvirta, T. Teräsvirta, 2014 .

Testing linearity in univariate, time series models

Timo Teräsvirta, Pentti Saikkonen, Ritva Luukkonen, 1988 .

Unit roots, nonlinearities and structural breaks

Robinson Kruse, Timo Teräsvirta, Rasmus T. Varneskov, 2012 .

Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model

Timo Teräsvirta, Tomoaki Nakatani, T. Teräsvirta, 2009 .

Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

Timo Teräsvirta, Anne Péguin-Feissolle, Birgit Strikholm, 2008, Commun. Stat. Simul. Comput..

Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model

T. Teräsvirta, Annastiina Silvennoinen, 2017 .

A Time Series Model for an Exchange Rate in a Target Zone with Applications

Timo Teräsvirta, T. Teräsvirta, 2006 .

A simple nonlinear time series model with misleading linear properties

Timo Teräsvirta, Clive W. J. Granger, C. Granger, 1999 .

Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks

T. Teräsvirta, A. Hall, Annastiina Silvennoinen, 2023, Econometrics.

Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach

T. Teräsvirta, Annastiina Silvennoinen, 2015 .

Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations

T. Teräsvirta, Annastiina Silvennoinen, 2005 .

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

T. Teräsvirta, Annastiina Silvennoinen, 2015 .

Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters

Timo Teräsvirta, T. Teräsvirta, C. Lin, 1999 .

Modelling Economic Relationships with Smooth Transition Regressions

Timo Teräsvirta, T. Teräsvirta, 1996 .

The net barter terms of trade: A smooth transition approach

Anna Persson, Timo Teräsvirta, T. Teräsvirta, 2003 .

Another look at Swedish business cycles, 1861–1988

Timo Teräsvirta, Joakim Skalin, T. Teräsvirta, 1999 .

Modelling and forecasting WIG20 daily returns

T. Teräsvirta, Annastiina Silvennoinen, Cristina Amado, 2017 .

Stylized Facts of Financial Time Series and Three Popular Models of Volatility

T. Teräsvirta, Hans Malmsten, 2004 .

Evaluating Models of Autoregressive Conditional Duration

Timo Teräsvirta, Mika Meitz, T. Teräsvirta, 2006 .

THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS

Timo Teräsvirta, Kirstin Hubrich, T. Teräsvirta, 2013 .

Modelling economic high-frequency time series

Timo Teräsvirta, Stefan Lundbergh, T. Teräsvirta, 1999 .

AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE

Timo Teräsvirta, Changli He, T. Teräsvirta, 2004, Econometric Theory.

www.econstor.eu An Introduction to Univariate GARCH Models

T. Teräsvirta, 2006 .

Nonlinear Models in Macroeconometrics

T. Teräsvirta, 2018, Oxford Research Encyclopedia of Economics and Finance.

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

P. Franses, D. Dijk, T. Teräsvirta, 2002 .

CREATES Research Paper 2010-1 Forecasting with nonlinear time series models

A. Kock, T. Teräsvirta, 2010 .

Forecasting with smooth transition autoregressive models

Timo Teräsvirta, Stefan Lundbergh, T. Teräsvirta, 2000 .

Modelling economic high-frequency time series with STAR-STGARCH models

Timo Teräsvirta, Stefan Lundbergh, T. Teräsvirta, 1998 .

Applied Time Series Econometrics: Smooth Transition Regression Modeling

Timo Teräsvirta, T. Teräsvirta, 2004 .

Unconditional skewness from asymmetry in the conditional mean and variance

T. Teräsvirta, Annastiina Silvennoinen, Changli He, 2005 .

The combination of forecasts using changing weights

Timo Teräsvirta, Clive W. J. Granger, Melinda Deutsch, 1994 .

Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models

Timo Teräsvirta, Tomoaki Nakatani, T. Teräsvirta, 2008 .

A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Timo Teräsvirta, T. Teräsvirta, P. Catani, 2017 .

Testing constancy of the error covariance matrix in vector models

Timo Teräsvirta, Bruno Eklund, T. Teräsvirta, 2006 .

A Note on Bias in the Almon Distributed Lag Estimator

T. Teräsvirta, 1976 .

Testing Parameter Constancy and Super Exogeneity in Econometric Equations

Timo Teräsvirta, Eilev S. Jansen, T. Teräsvirta, 2009 .

Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis

T. Teräsvirta, M. Holt, 2020, Journal of Econometrics.

A note on the limits of a modified THEIL-estimator

T. Teräsvirta, H. Toutenbubg, 1980 .

Non-linear error correction and the UK demand for broad money, 1878-1993

Timo Teräsvirta, T. Teräsvirta, Ann-Charlotte Eliasson, 2001 .

Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009

Anders Bredahl Kock, Timo Teräsvirta, A. Kock, 2014 .

Formation of Firms' Production Decisions in Finnish Manufacturing Industries

T. Teräsvirta, M. Rahiala, 1988 .

A general framework for testing the Granger noncausality hypothesis

T. Teräsvirta, Anne Péguin-Feissolle, 1999 .

Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009

Anders Bredahl Kock, Timo Teräsvirta, A. Kock, 2011 .

Testing Linearity against Nonlinear Moving Average Models

J. Gooijer, T. Teräsvirta, Kurt Brännäs, 1996 .