Timo Teräsvirta

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Contact

Affiliations

• Humboldt-Universität Berlin / Center for Applied Statistics and Econometrics (CASE) (weight: 50%)
  • EDIRC entry
  • location:
• Aarhus Universitet / Institut for Økonomi / Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 50%)
  • EDIRC entry
  • location:

Research profile

author of:

• Long Monthly European Temperature Series and the North Atlantic Oscillation (RePEc:aah:aarhec:2023-03)
  by Changli He & Jian Kang & Annastiina Silvennoinen & Timo Teräsvirta
• Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model (RePEc:aah:create:2008-05)
  by Annastiina Silvennoinen & Timo Teräsvirta
• Multivariate GARCH models (RePEc:aah:create:2008-06)
  by Annastiina Silvennoinen & Timo Teräsvirta
• Parameterizing unconditional skewness in models for financial time series (RePEc:aah:create:2008-07)
  by Changli He & Annastiina Silvennoinen & Timo Teräsvirta
• Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure (RePEc:aah:create:2008-08)
  by Christina Amado & Timo Teräsvirta
• Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form (RePEc:aah:create:2008-19)
  by Anne Péguin-Feissolle & Birgit Strikholm & Timo Teräsvirta
• Forecasting inflation with gradual regime shifts and exogenous information (RePEc:aah:create:2009-03)
  by Andrés González & Kirstin Hubrich & Timo Teräsvirta
• Forecasting with nonlinear time series models (RePEc:aah:create:2010-01)
  by Anders Bredahl Kock & Timo Teräsvirta
• Modelling Volatility by Variance Decomposition (RePEc:aah:create:2011-01)
  by Cristina Amado & Timo Teräsvirta
• Nonlinear models for autoregressive conditional heteroskedasticity (RePEc:aah:create:2011-02)
  by Timo Teräsvirta
• Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations (RePEc:aah:create:2011-24)
  by Cristina Amado & Timo Teräsvirta
• Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques (RePEc:aah:create:2011-27)
  by Anders Bredahl Kock & Timo Teräsvirta
• Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 (RePEc:aah:create:2011-28)
  by Anders Bredahl Kock & Timo Teräsvirta
• Modelling Changes in the Unconditional Variance of Long Stock Return Series (RePEc:aah:create:2012-07)
  by Cristina Amado & Timo Teräsvirta
• Modelling conditional correlations of asset returns: A smooth transition approach (RePEc:aah:create:2012-09)
  by Annastiina Silvennoinen & Timo Teräsvirta
• Unit roots, nonlinearities and structural breaks (RePEc:aah:create:2012-14)
  by Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov
• Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis (RePEc:aah:create:2012-54)
  by Matthew T. Holt & Timo Teräsvirta
• Thresholds and Smooth Transitions in Vector Autoregressive Models (RePEc:aah:create:2013-18)
  by Kirstin Hubrich & Timo Teräsvirta
• A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model (RePEc:aah:create:2014-03)
  by Paul Catani & Timo Teräsvirta & Meiqun Yin
• Linearity and Misspecification Tests for Vector Smooth Transition Regression Models (RePEc:aah:create:2014-04)
  by Timo Teräsvirta & Yukai Yang
• Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications (RePEc:aah:create:2014-08)
  by Timo Teräsvirta & Yukai Yang
• A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market (RePEc:aah:create:2014-09)
  by A.S. Hurn & Annastiina Silvennoinen & Timo Teräsvirta
• Testing constancy of unconditional variance in volatility models by misspecification and specification tests (RePEc:aah:create:2015-47)
  by Annastiina Silvennoinen & Timo Teräsvirta
• Sir Clive Granger's contributions to nonlinear time series and econometrics (RePEc:aah:create:2017-04)
  by Timo Teräsvirta
• Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis (RePEc:aah:create:2017-05)
  by Matthew T. Holt & Timo Teräsvirta
• Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model (RePEc:aah:create:2017-28)
  by Annastiina Silvennoinen & Timo Teräsvirta
• Modelling and forecasting WIG20 daily returns (RePEc:aah:create:2017-29)
  by Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta
• Nonlinear models in macroeconometrics (RePEc:aah:create:2017-32)
  by Timo Teräsvirta
• Panel Smooth Transition Regression Models (RePEc:aah:create:2017-36)
  by Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang
• Models with Multiplicative Decomposition of Conditional Variances and Correlations (RePEc:aah:create:2018-14)
  by Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta
• The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 (RePEc:aah:create:2018-15)
  by Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang
• Transition from the Taylor rule to the zero lower bound (RePEc:aah:create:2018-31)
  by Stan Hurn & Nicholas Johnson & Annastiina Silvennoinen & Timo Teräsvirta
• Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model (RePEc:aah:create:2019-17)
  by Dakyung Seong & Jin Seo Cho & Timo Teräsvirta
• Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model (RePEc:aah:create:2019-18)
  by Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang
• Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model (RePEc:aah:create:2019-19)
  by Changli He & Jian Kang & Timo Teräsvirta & Shuhua Zhang
• Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model (RePEc:aah:create:2021-13)
  by Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta
• A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model (RePEc:aah:create:2022-01)
  by Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade
• Modelling autoregressive processes with a shifting mean (RePEc:bdr:borrec:420)
  by Timo Terasvirta & Andrés González
• Time-Varying Smooth Transition Autoregressive Models (RePEc:bes:jnlbes:v:21:y:2003:i:1:p:104-21)
  by Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick
• Evaluating Models of Autoregressive Conditional Duration (RePEc:bes:jnlbes:v:24:y:2006:p:104-124)
  by Meitz, Mika & Terasvirta, Timo
• Power Of The Neural Network Linearity Test (RePEc:bla:jtsera:v:14:y:1993:i:2:p:209-220)
  by Timo Teräsvirta & Chien‐Fu Lin & Clive W. J. Granger
• Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints (RePEc:bla:jtsera:v:20:y:1999:i:1:p:23-30)
  by Changli He & Timo Terasvirta
• Mink And Muskrat Interaction:A Structural Analysis (RePEc:bla:jtsera:v:6:y:1985:i:3:p:171-180)
  by Timo Teräsvirta
• Testing Parameter Constancy and Super Exogeneity in Econometric Equations (RePEc:bla:obuest:v:58:y:1996:i:4:p:735-63)
  by Jansen, Eilev S & Terasvirta, Timo
• Simulation‐based Finite Sample Linearity Test against Smooth Transition Models (RePEc:bla:obuest:v:68:y:2006:i:s1:p:797-812)
  by Andrés González & Timo Teräsvirta
• Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993” (RePEc:bla:scandj:v:100:y:1998:i:1:p:325-334)
  by Timo Teräsvirta & Svend Hylleberg
• Modelling Autoregressive Processes with a Shifting Mean (RePEc:bpj:sndecm:v:12:y:2008:i:1:n:1)
  by González Andrés & Teräsvirta Timo
• Power Properties of Linearity Tests for Time Series (RePEc:bpj:sndecm:v:1:y:1996:i:1:n:2)
  by Teräsvirta Timo
• Testing constancy of unconditional variance in volatility models by misspecification and specification tests (RePEc:bpj:sndecm:v:20:y:2016:i:4:p:347-364:n:5)
  by Silvennoinen Annastiina & Teräsvirta Timo
• Transition from the Taylor rule to the zero lower bound (RePEc:bpj:sndecm:v:26:y:2022:i:5:p:635-647:n:5)
  by Hurn Stan & Johnson Nicholas & Silvennoinen Annastiina & Teräsvirta Timo
• Common Factors in Conditional Distributions (RePEc:cdl:ucsdec:qt3bd1n1x5)
  by Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J
• Modelling autoregressive processes with a shifting mean (RePEc:col:000094:003230)
  by Timo Terasvirta & Andrés González
• Linearity and misspecification tests for vector smooth transition regression models (RePEc:cor:louvco:2014061)
  by Terasvirta, Timo & Yang, Yukai
• Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (RePEc:cor:louvco:2014062)
  by Terasvirta, Timo & Yang, Yukai
• Some results on improving the least squares estimation of linear models by mixed estimation (RePEc:cor:louvrp:434)
  by TERÄSVIRTA, Timo
• The polynomial distributed lag revisited (RePEc:cor:louvrp:438)
  by Teräsvirta, T.
• Nonlinear Econometric Modeling in Time Series (RePEc:cup:cbooks:9780521028684)
  by None
• Nonlinear Econometric Modeling in Time Series (RePEc:cup:cbooks:9780521594240)
  by None
• FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS (RePEc:cup:etheor:v:15:y:1999:i:06:p:824-846_15)
  by He, Changli & Teräsvirta, Timo
• Moment Structure Of A Family Of First-Order Exponential Garch Models (RePEc:cup:etheor:v:18:y:2002:i:04:p:868-885_18)
  by He, Changli & Teräsvirta, Timo & Malmsten, Hans
• An Extended Constant Conditional Correlation Garch Model And Its Fourth-Moment Structure (RePEc:cup:etheor:v:20:y:2004:i:05:p:904-926_20)
  by He, Changli & Teräsvirta, Timo
• Introduction To The Special Issue: Nonlinear Modeling Of Multivariate Macroeconomic Relations (RePEc:cup:macdyn:v:5:y:2001:i:04:p:461-465_02)
  by Franses, Philip Hans & Teräsvirta, Timo
• Modeling Asymmetries And Moving Equilibria In Unemployment Rates (RePEc:cup:macdyn:v:6:y:2002:i:02:p:202-241_03)
  by Skalin, Joakim & Teräsvirta, Timo
• Forecasting inflation with gradual regime shifts and exogenous information (RePEc:ecb:ecbwps:20111363)
  by Hubrich, Kirstin & González, Andrés & Teräsvirta, Timo
• A Time Series Model for an Exchange Rate in a Target Zone with Applications (RePEc:ecm:ausm04:340)
  by Timo Terasvirta
• A Note on Bias in the Almon Distributed Lag Estimator (RePEc:ecm:emetrp:v:44:y:1976:i:6:p:1317-21)
  by Terasvirta, Timo
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model (RePEc:ect:emjrnl:v:12:y:2009:i:1:p:147-163)
  by Tomoaki Nakatani & Timo Terasvirta
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series (RePEc:ect:emjrnl:v:6:y:2003:i:1:p:79-98)
  by Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta
• A sequential procedure for determining the number of regimes in a threshold autoregressive model (RePEc:ect:emjrnl:v:9:y:2006:i:3:p:472-491)
  by Birgit Strikholm & Timo Teräsvirta
• Aspects of modelling nonlinear time series (RePEc:eee:ecochp:4-48)
  by Terasvirta, Timo & Tjostheim, Dag & W.J. Granger, Clive
• Forecasting economic variables with nonlinear models (RePEc:eee:ecofch:1-08)
  by Terasvirta, Timo
• A simple nonlinear time series model with misleading linear properties (RePEc:eee:ecolet:v:62:y:1999:i:2:p:161-165)
  by Granger, Clive W. J. & Terasvirta, Timo
• Long memory and nonlinear time series (RePEc:eee:econom:v:110:y:2002:i:2:p:105-112)
  by Davidson, James & Terasvirta, Timo
• Evaluating GARCH models (RePEc:eee:econom:v:110:y:2002:i:2:p:417-435)
  by Lundbergh, Stefan & Terasvirta, Timo
• A time series model for an exchange rate in a target zone with applications (RePEc:eee:econom:v:131:y:2006:i:1-2:p:579-609)
  by Lundbergh, Stefan & Terasvirta, Timo
• Common factors in conditional distributions for bivariate time series (RePEc:eee:econom:v:132:y:2006:i:1:p:43-57)
  by Granger, Clive W.J. & Terasvirta, Timo & Patton, Andrew J.
• Testing constancy of the error covariance matrix in vector models (RePEc:eee:econom:v:140:y:2007:i:2:p:753-780)
  by Eklund, Bruno & Terasvirta, Timo
• Modelling volatility by variance decomposition (RePEc:eee:econom:v:175:y:2013:i:2:p:142-153)
  by Amado, Cristina & Teräsvirta, Timo
• Underestimation of mean square error matrix in misspecified linear models (RePEc:eee:econom:v:18:y:1982:i:2:p:281-284)
  by Terasvirta, Timo
• Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis (RePEc:eee:econom:v:214:y:2020:i:1:p:198-215)
  by Holt, Matthew T. & Teräsvirta, Timo
• The extended Stein procedure for simultaneous model selection and parameter estimation (RePEc:eee:econom:v:35:y:1987:i:2-3:p:375-391)
  by Judge, George & Yi, Gang & Yancey, Thomas & Terasvirta, Timo
• Usefulness of proxy variables in linear models with stochastic regressors (RePEc:eee:econom:v:36:y:1987:i:3:p:377-382)
  by Terasvirta, Timo
• Testing the constancy of regression parameters against continuous structural change (RePEc:eee:econom:v:62:y:1994:i:2:p:211-228)
  by Lin, Chien-Fu Jeff & Terasvirta, Timo
• Testing the adequacy of smooth transition autoregressive models (RePEc:eee:econom:v:74:y:1996:i:1:p:59-75)
  by Eitrheim, Oyvind & Terasvirta, Timo
• Testing parameter constancy in linear models against stochastic stationary parameters (RePEc:eee:econom:v:90:y:1999:i:2:p:193-213)
  by Lin, Chien-Fu Jeff & Terasvirta, Timo
• Properties of moments of a family of GARCH processes (RePEc:eee:econom:v:92:y:1999:i:1:p:173-192)
  by He, Changli & Terasvirta, Timo
• The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016 (RePEc:eee:ecosta:v:12:y:2019:i:c:p:1-24)
  by He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua
• Forecasting the consumption of alcoholic beverages in Finland : A box-Jenkins approach (RePEc:eee:eecrev:v:8:y:1976:i:4:p:349-369)
  by Leskinen, Esko & Terasvirta, Timo
• Modelling changes in the unconditional variance of long stock return series (RePEc:eee:empfin:v:25:y:2014:i:c:p:15-35)
  by Amado, Cristina & Teräsvirta, Timo
• Long monthly European temperature series and the North Atlantic Oscillation (RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005017)
  by He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo
• Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model (RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000761)
  by He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua
• Positivity constraints on the conditional variances in the family of conditional correlation GARCH models (RePEc:eee:finlet:v:5:y:2008:i:2:p:88-95)
  by Nakatani, Tomoaki & Teräsvirta, Timo
• The combination of forecasts using changing weights (RePEc:eee:intfor:v:10:y:1994:i:1:p:47-57)
  by Deutsch, Melinda & Granger, Clive W. J. & Terasvirta, Timo
• Professor Clive W.J. Granger: An interview for the International Journal of Forecasting (RePEc:eee:intfor:v:11:y:1995:i:4:p:585-590)
  by Terasvirta, Timo
• Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993 (RePEc:eee:intfor:v:12:y:1996:i:3:p:373-381)
  by Kauppi, Eija & Lassila, Jukka & Terasvirta, Timo
• The International Institute of Forecasters Award for the Best Forecasting Paper (RePEc:eee:intfor:v:13:y:1997:i:4:p:591-592)
  by Terasvirta, Timo
• Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination (RePEc:eee:intfor:v:21:y:2005:i:4:p:755-774)
  by Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.
• Reply (RePEc:eee:intfor:v:21:y:2005:i:4:p:781-783)
  by Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.
• Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009 (RePEc:eee:intfor:v:30:y:2014:i:3:p:616-631)
  by Kock, Anders Bredahl & Teräsvirta, Timo
• Use of preliminary values in forecasting industrial production (RePEc:eee:intfor:v:6:y:1990:i:4:p:463-468)
  by Boucelham, Jamel & Terasvirta, Timo
• Common factors in conditional distributions for Bivariate time series (RePEc:ehl:lserod:24854)
  by Granger, Clive W. J. & Terasvirta, Timo & Patton, Andrew J.
• Unit roots, non-linearities and structural breaks (RePEc:elg:eechap:14327_4)
  by Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov
• Thresholds and Smooth Transitions in Vector Autoregressive Models☆The views expressed in this article are those of the authors and should not be interpreted as reflecting the views of the European Cen (RePEc:eme:aecozz:s0731-9053(2013)0000031008)
  by Kirstin Hubrich & Timo Teräsvirta
• Smooth transition autoregressive models - A survey of recent developments (RePEc:ems:eureir:1656)
  by van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F.
• The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series (RePEc:ems:eureir:1676)
  by van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T.
• Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques (RePEc:fep:journl:v:26:y:2013:i:1:p:13-24)
  by Anders Bredahl Kock & Timo Teräsvirta
• Common factors in conditional distributions for Bivariate time series (RePEc:fmg:fmgdps:dp455)
  by Timo Terasvirta & Clive W.J Granger & Andrew Patton
• A General Framework for Testing the Granger Noncausality Hypothesis (RePEc:fth:aixmeq:99a42)
  by Peguin-Feissolle, A. & Terasvirta, T.
• A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model (RePEc:gam:jecnmx:v:10:y:2022:i:3:p:30-:d:896537)
  by Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade
• Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks (RePEc:gam:jecnmx:v:11:y:2023:i:1:p:5-:d:1059591)
  by Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta
• Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form (RePEc:hal:journl:hal-01500895)
  by Anne Peguin-Feissolle & Birgit Strikholm & Timo Teräsvirta
• Testing Parameter Constancy and super Exogeneity in Econometric Equations (RePEc:hhs:hastef:0053)
  by Jansen, Eilev S. & Teräsvirta, Timo
• Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters (RePEc:hhs:hastef:0054)
  by Lin, Chien-Fu & Teräsvirta, Timo
• Testing the Adequacy of Smooth Transition Autoregressive Models (RePEc:hhs:hastef:0056)
  by Eitrheim, Øyvind & Teräsvirta, Timo
• Investigating Stability and Linearity of a German M1 Money Demand Function (RePEc:hhs:hastef:0064)
  by Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen
• Power Properties of Linearity Tests for Time Series (RePEc:hhs:hastef:0094)
  by Teräsvirta, Timo
• Testing Linearity against Nonlinear Moving Average Models (RePEc:hhs:hastef:0095)
  by Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo
• Two Stylized Facts and the Garch (1,1) Model (RePEc:hhs:hastef:0096)
  by Teräsvirta, Timo
• Modelling the Demand for M3 in the unified Germany (RePEc:hhs:hastef:0113)
  by Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut
• Stylized Facts of Daily Return Series and the Hidden Markov Model (RePEc:hhs:hastef:0117)
  by Rydén, Tobias & Teräsvirta, Timo & Åsbrink, Stefan
• Another Look at Swedish Business Cycles, 1861-1988 (RePEc:hhs:hastef:0130)
  by Skalin, Joakim & Teräsvirta, Timo
• Modelling Economic Relationships with Smooth Transition Regressions (RePEc:hhs:hastef:0131)
  by Teräsvirta, Timo
• Smooth Transition Models (RePEc:hhs:hastef:0132)
  by Teräsvirta, Timo
• Fourth Moment Structure of the GARCH (p, q) Process (RePEc:hhs:hastef:0168)
  by He, Changli & Teräsvirta, Timo
• Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints (RePEc:hhs:hastef:0169)
  by He, Changli & Teräsvirta, Timo
• Properties of Moments of a Family of GARCH Processes (RePEc:hhs:hastef:0198)
  by He, Changli & Teräsvirta, Timo
• Statistical Properties of the Asymmetric Power ARCH Process (RePEc:hhs:hastef:0199)
  by He, Changli & Teräsvirta, Timo
• A simple nonlinear time series model with misleading linear properties (RePEc:hhs:hastef:0237)
  by Granger, Clive W.J. & Teräsvirta, Timo
• Modelling asymmetries and moving equilibria in unemployment rates (RePEc:hhs:hastef:0262)
  by Skalin, Joakim & Teräsvirta, Timo
• A nonlinear time series model of El Niño (RePEc:hhs:hastef:0263)
  by Hall, Anthony D. & Skalin, Joakim & Teräsvirta, Timo
• Nonlinear error-correction and the UK demand for broad money, 1878-1993 (RePEc:hhs:hastef:0265)
  by Teräsvirta, Timo & Eliasson, Ann-Charlotte
• Modelling economic high-frequency time series with STAR-STGARCH models (RePEc:hhs:hastef:0291)
  by Lundbergh, Stefan & Teräsvirta, Timo
• Evaluating GARCH models (RePEc:hhs:hastef:0292)
  by Lundbergh, Stefan & Teräsvirta, Timo
• A simple variable selection technique for nonlinear models (RePEc:hhs:hastef:0296)
  by Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf
• Higher-order dependence in the general Power ARCH process and a special case (RePEc:hhs:hastef:0315)
  by He, Changli & Teräsvirta, Timo
• The Net Barter Terms Of Trade : A Smooth Transition Approach (RePEc:hhs:hastef:0335)
  by Persson, Anna & Teräsvirta, Timo
• A general framework for testing the Granger noncausality hypothesis (RePEc:hhs:hastef:0343)
  by Péguin-Feissolle, Anne & Teräsvirta, Timo
• Fourth Moment Structure of a Family of First-Order Exponential GARCH Models (RePEc:hhs:hastef:0345)
  by He, Changli & Teräsvirta, Timo & Malmsten, Hans
• Time-Varying Smooth Transition Autoregressive Models (RePEc:hhs:hastef:0376)
  by Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick
• Smooth Transition Autoregressive Models - A Survey of Recent Developments (RePEc:hhs:hastef:0380)
  by van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans
• Forecasting with smooth transition autoregressive models (RePEc:hhs:hastef:0390)
  by Lundbergh, Stefan & Teräsvirta, Timo
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series (RePEc:hhs:hastef:0429)
  by van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo
• Testing parameter constancy in stationary vector autoregressive models against continuous change (RePEc:hhs:hastef:0507)
  by He, Changli & Teräsvirta, Timo & González, Andres
• Building neural network models for time series: A statistical approach (RePEc:hhs:hastef:0508)
  by Medeiros, Marcelo C. & Teräsvirta, Timo & Rech, Gianluigi
• An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure (RePEc:hhs:hastef:0509)
  by He, Changli & Teräsvirta, Timo
• Common factors in conditional distributions (RePEc:hhs:hastef:0515)
  by Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J.
• An application of the analogy between vector ARCH and vector random coefficient autoregressive models (RePEc:hhs:hastef:0516)
  by He, Changli & Teräsvirta, Timo
• Error correction in DHSY (RePEc:hhs:hastef:0517)
  by Eliasson, Ann-Charlotte & Teräsvirta, Timo
• A time series model for an exchange rate in a target zone with applications (RePEc:hhs:hastef:0533)
  by Lundbergh, Stefan & Teräsvirta, Timo
• Testing constancy of the error covariance matrix in vector models (RePEc:hhs:hastef:0549)
  by Eklund, Bruno & Teräsvirta, Timo
• Evaluating models of autoregressive conditional duration (RePEc:hhs:hastef:0557)
  by Meitz, Mika & Teräsvirta, Timo
• Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination (RePEc:hhs:hastef:0561)
  by Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo
• Stylized Facts of Financial Time Series and Three Popular Models of Volatility (RePEc:hhs:hastef:0563)
  by Malmsten, Hans & Teräsvirta, Timo
• Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (RePEc:hhs:hastef:0577)
  by Silvennoinen, Annastiina & Teräsvirta, Timo
• Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions (RePEc:hhs:hastef:0578)
  by Strikholm, Birgit & Teräsvirta, Timo
• Univariate nonlinear time series models (RePEc:hhs:hastef:0593)
  by Teräsvirta, Timo
• Forecasting economic variables with nonlinear models (RePEc:hhs:hastef:0598)
  by Teräsvirta, Timo
• Simulation-based finite-sample linearity test against smooth transition models (RePEc:hhs:hastef:0603)
  by González, Andrés & Teräsvirta, Timo
• Panel Smooth Transition Regression Models (RePEc:hhs:hastef:0604)
  by González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai
• Modelling autoregressive processes with a shifting mean (RePEc:hhs:hastef:0637)
  by González, Andrés & Teräsvirta, Timo
• An introduction to univariate GARCH models (RePEc:hhs:hastef:0646)
  by Teräsvirta, Timo
• Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model (RePEc:hhs:hastef:0649)
  by Nakatani, Tomoaki & Teräsvirta, Timo
• Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model (RePEc:hhs:hastef:0652)
  by Silvennoinen, Annastiina & Teräsvirta, Timo
• Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility (RePEc:hhs:hastef:0662)
  by Teräsvirta, Timo & Zhao, Zhenfang
• Multivariate GARCH models (RePEc:hhs:hastef:0669)
  by Silvennoinen, Annastiina & Teräsvirta, Timo
• Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form (RePEc:hhs:hastef:0672)
  by Péguin-Feissolle, Anne & Strikholm, Birgit & Teräsvirta, Timo
• Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models (RePEc:hhs:hastef:0675)
  by Nakatani, Tomoaki & Teräsvirta, Timo
• Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure (RePEc:hhs:hastef:0691)
  by Amado, Cristina & Teräsvirta, Timo
• Testing Linearity against Nonlinear Moving Average Models (RePEc:hhs:umnees:0405)
  by Brännäs, Kurt & de Gooijer, Jan G. & Teräsvirta, Timo
• The net barter terms of trade: A smooth transition approach (RePEc:ijf:ijfiec:v:8:y:2003:i:1:p:81-97)
  by Anna Persson & Timo Teräsvirta
• Stylized facts of daily return series and the hidden Markov model (RePEc:jae:japmet:v:13:y:1998:i:3:p:217-244)
  by Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink
• Another Look at Swedish Business Cycles, 1861-1988 (RePEc:jae:japmet:v:14:y:1999:i:4:p:359-78)
  by Skalin, Joakim & Terasvirta, Timo
• Investigating Stability and Linearity of a German M1 Money Demand Function (RePEc:jae:japmet:v:14:y:1999:i:5:p:511-25)
  by Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen
• Non-linear error correction and the UK demand for broad money, 1878-1993 (RePEc:jae:japmet:v:16:y:2001:i:3:p:277-288)
  by Timo Teräsvirta & Ann-Charlotte Eliasson
• Formation of Firms' Production Decisions in Finnish Manufacturing Industries (RePEc:jae:japmet:v:3:y:1988:i:2:p:125-37)
  by Rahiala, Markku & Terasvirta, Timo
• Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models (RePEc:jae:japmet:v:7:y:1992:i:s:p:s119-36)
  by Terasvirta, T & Anderson, H M
• Building neural network models for time series: a statistical approach (RePEc:jof:jforec:v:25:y:2006:i:1:p:49-75)
  by Timo Teräsvirta & Marcelo C. Medeiros & Gianluigi Rech
• Modeling Nonlinearity over the Business Cycle (RePEc:nbr:nberch:7196)
  by Clive W. Granger & Timo Terasvirta & Heather M. Anderson
• Modelling Volatility by Variance Decomposition (RePEc:nip:nipewp:01/2011)
  by Cristina Amado & Timo Teräsvirta
• Modelling Changes in the Unconditional Variance of Long Stock Return Series (RePEc:nip:nipewp:02/2012)
  by Cristina Amado & Timo Terasvirta
• Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure (RePEc:nip:nipewp:03/2008)
  by Cristina Amado & Timo Teräsvirta
• Models with Multiplicative Decomposition of Conditional Variances and Correlations (RePEc:nip:nipewp:07/2018)
  by Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta
• Modelling and forecasting WIG20 daily returns (RePEc:nip:nipewp:09/2017)
  by Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta
• Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations (RePEc:nip:nipewp:15/2011)
  by Cristina Amado & Timo Teräsvirta
• Parameterizing Unconditional Skewness in Models for Financial Time Series (RePEc:oup:jfinec:v:6:y:2008:i:2:p:208-230)
  by Changli He & Annastiina Silvennoinen & Timo Teräsvirta
• Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model (RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411)
  by Annastiina Silvennoinen & Timo Teräsvirta
• Working With Clive Granger: Two Short Memories (RePEc:oup:jfinec:v:8:y:2010:i:2:p:191-192)
  by Timo Teräsvirta
• Modelling Non-Linear Economic Relationships (RePEc:oxp:obooks:9780198773207)
  by Granger, Clive W. J. & Terasvirta, Timo
• Modelling Nonlinear Economic Time Series (RePEc:oxp:obooks:9780199587155)
  by Terasvirta, Timo & Tjostheim, Dag & Granger, Clive W. J.
• Modelling and Forecasting WIG20 Daily Returns (RePEc:psc:journl:v:9:y:2017:i:3:p:173-200)
  by Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta
• A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market (RePEc:qut:auncer:2014_01)
  by A S Hurn & Annastiina Silvennoinen & Timo Terasvirta
• Testing constancy of unconditional variance in volatility models by misspecification and specification tests (RePEc:qut:auncer:2015_06)
  by Annastiina Silvennoinen & Timo Terasvirta
• A Review of PC-GIVE: A Statistical Package for Econometric Modelling (RePEc:rif:dpaper:259)
  by Teräsvirta, Timo
• Testing Linearity of Economic Time Series against Cyclical A symmetry (RePEc:rif:dpaper:262)
  by Luukkonen, Ritva & Teräsvirta, Timo
• Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis (RePEc:rif:dpaper:282)
  by Rahiala, Markku & Teräsvirta, Timo
• How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production? (RePEc:rif:dpaper:284)
  by Boucelham, Jamel & Teräsvirta, Timo
• Forecasting the Outputof Finnish Forest Industries Using Business Survey Data (RePEc:rif:dpaper:371)
  by Rahiala, Markku & Teräsvirta, Timo
• Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finland's Great Depression (RePEc:rif:dpaper:546)
  by Kauppi, Eija & Lassila, Jukka & Teräsvirta, Timo
• Statistical methods for modelling neural networks (RePEc:rio:texdis:445)
  by Marcelo C. Medeiros & Timo Terasvirta
• Building Neural Network Models for Time Series: A Statistical Approach (RePEc:rio:texdis:461)
  by Marcelo C. Medeiros & Timo Terasvirta & Gianluigi Rech
• Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination (RePEc:rio:texdis:485)
  by Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros
• Modelling Nonlinearity in U.S. Gross National Product 1889-1987 (RePEc:spr:empeco:v:20:y:1995:i:4:p:577-97)
  by Terasvirta, Timo
• The Polynomial Distributed Lag Revisited (RePEc:spr:empeco:v:5:y:1980:i:2:p:69-81)
  by Terasvirta, T
• Unknown item RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:67-94 (article)
• Smooth Transition Autoregressive Models — A Survey Of Recent Developments (RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47)
  by Dick van Dijk & Timo Terasvirta & Philip Hans Franses
• Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change (RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:225-245)
  by Changli He & Timo Terasvirta & Andres Gonzalez
• Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (RePEc:taf:emetrv:v:34:y:2015:i:1-2:p:174-197)
  by Annastiina Silvennoinen & Timo Ter�svirta
• Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques (RePEc:taf:emetrv:v:35:y:2016:i:8-10:p:1753-1779)
  by Anders Bredahl Kock & Timo Teräsvirta
• Specification and testing of multiplicative time-varying GARCH models with applications (RePEc:taf:emetrv:v:36:y:2017:i:4:p:421-446)
  by Cristina Amado & Timo Teräsvirta
• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:599-621)
  by Paul Catani & Timo Teräsvirta & Meiqun Yin
• Comprehensively testing linearity hypothesis using the smooth transition autoregressive model (RePEc:taf:emetrv:v:41:y:2022:i:8:p:966-984)
  by Dakyung Seong & Jin Seo Cho & Timo Teräsvirta
• Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations (RePEc:taf:jnlbes:v:32:y:2014:i:1:p:69-87)
  by Cristina Amado & Timo Teräsvirta
• Sir Clive William John Granger, 1934-2009 (RePEc:taf:nzecpp:v:44:y:2010:i:2:p:121-127)
  by Timo Terasvirta
• Evaluating GARCH Models (RePEc:tin:wpaper:19990008)
  by Stefan Lundbergh & Timo Teräsvirta
• Modelling Economic High-Frequency Time Series (RePEc:tin:wpaper:19990009)
  by Stefan Lundbergh & Timo Teräsvirta
• Modeling The Demand For M3 In The Unified Germany (RePEc:tpr:restat:v:80:y:1998:i:3:p:399-409)
  by Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl
• Panel Smooth Transition Regression Models (RePEc:uts:rpaper:165)
  by Andres Gonzalez & Timo Terasvirta & Dick van Dijk
• Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (RePEc:uts:rpaper:168)
  by Annastiina Silvennoinen & Timo Teräsvirta
• Parameterizing Unconditional Skewness in Models for Financial Time Series (RePEc:uts:rpaper:169)
  by Changli He & Annastiina Silvennoinen & Timo Teräsvirta
• Fourth Moment Structure of a Family of First-Order Exponential GARCH Models (RePEc:uts:rpaper:29)
  by Changli He & Timo Terasvirta & Hans Malmsten
• A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market (RePEc:wly:japmet:v:31:y:2016:i:4:p:707-733)
  by A. Stan Hurn & Annastiina Silvennoinen & Timo Teräsvirta
• Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model (RePEc:yon:wpaper:2019rwp-151)
  by Dakyung Seong & Jin Seo Cho & Timo Terasvirta
• Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters (RePEc:zbw:sfb373:199528)
  by Teräsvirta, T. & Lin, C.
• Investigating Stability and Linearity of a German M1 Money Demand Function (RePEc:zbw:sfb373:199557)
  by Lütkepohl, H. & Teräsvirta, T. & Wolters, J.
• Modelling the Demand for M3 in the Unified Germany (RePEc:zbw:sfb373:199624)
  by Wolters, J. & Teräsvirta, T. & Lütkepohl, H.
• Another Look at Swedish Business Cycles, 1861-1988 (RePEc:zbw:sfb373:199696)
  by Skalin, J. & Teräsvirta, T.
• A simple variable selection technique for nonlinear models (RePEc:zbw:sfb373:199926)
  by Rech, Gianluigi & Teräsvirta, Timo & Tschernig, Rolf
• Financial sector and output dynamics in the euro area countries (RePEc:zbw:zewpbs:92013)
  by Kappler, Marcus & Schleer, Frauke & Semmler, Willi & Teräsvirta, Timo & Winker, Peter