Teräsvirta, Timo

(as bibtex)

Elsewhere: [math people] [google] [google scholar]

Books

• Modelling nonlinear economic relationships (1993)
  Terasvirta, Timo, Teraesvirta, Timo, Granger, C. W. J., Teräsvirta, Timo

Articles (56)

• Teräsvirta, Timo, Silvennoinen, Annastiina, Hurn, A. Stan. A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market. Journal of Applied Econometrics 2016. 31:707-733
• Terasvirta, Timo, Teraesvirta, Timo, Malmsten, Hans, Teräsvirta, Timo. Stylized facts of financial time series and three popular models of volatility. European Journal of Pure and Applied Mathematics 2010. 3:443-477
• Terasvirta, Timo, Teraesvirta, Timo, Gonzalez, Andres, He, Changli, Teräsvirta, Timo, González, Andrés. Testing parameter constancy in stationary vector autoregressive models against continuous change. Econometric Reviews 2009. 28:225-245
• Nakatani, Tomoaki, Teräsvirta, Timo. Testing for volatility interactions in the Constant Conditional Correlation GARCH model. The Econometrics Journal 2009. 12:147-163
• Terasvirta, Timo, Teraesvirta, Timo, Eklund, Bruno, Teräsvirta, Timo. Testing constancy of the error covariance matrix in vector models. Journal of Econometrics 2007. 140:753-780
• Meitz, Mika, Teräsvirta, Timo. Evaluating models of autoregressive conditional duration. Journal of Business & Economic Statistics 2006. 24:104-124
• Strikholm, Birgit, Teräsvirta, Timo. A sequential procedure for determining the number of regimes in a threshold autoregressive model. The Econometrics Journal 2006. 9:472-491
• González, Andrés, Teräsvirta, Timo. Simulation-based finite sample linearity test against smooth transition models ∗. Oxford Bulletin of Economics and Statistics 2006. 68:797-812
• Teräsvirta, Timo, van Dijk, Dick, Medeiros, Marcelo C.. Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination (Pkg: p755-783). International Journal of Forecasting 2005. 21:755-774
• Teräsvirta, Timo, van Dijk, Dick, Medeiros, Marvelo C.. Reply to comment on ``Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination'' (Pkg: p755-783). International Journal of Forecasting 2005. 21:781-783
• He, Changli, Teräsvirta, Timo. An extended constant conditional correlation GARCH model and its fourth-moment structure. Econometric Theory 2004. 20:904-926
• Teräsvirta, Timo, Strikholm, Birgit, van Dijk, Dick. Changing seasonal patterns in quarterly in quarterly industrial production in Finland and Sweden.
• van Dijk 1, Dick, Strikholm, Birgit, Teräsvirta, Timo. The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series. The Econometrics Journal 2003. 6:79-98
• Lundbergh, Stefan, Terasvirta, Timo, Teraesvirta, Timo, Teräsvirta, Timo, van Dijk, Dick. Time-varying smooth transition autoregressive models. Journal of Business & Economic Statistics 2003. 21:104-121
• Terasvirta, Timo, Teraesvirta, Timo, van Dijk, Dick, Teräsvirta, Timo, Franses, Philip Hans. Smooth transition autoregressive models -- A survey of recent developments. Econometric Reviews 2002. 21:1-47
• Skalin, Joakim, Teräsvirta, Timo. Modeling asymmetries and moving equilibria in unemployment rates. Macroeconomic Dynamics 2002. 6:202-241
• Dijk, Dick, Teräsvirta, Timo, Franses, Philip. Smooth transition autoregressive models — a survey of recent developments. Econometric Reviews 2002. 21:1-47
• Terasvirta, Timo, Teraesvirta, Timo, He, Changli, Teräsvirta, Timo, Malmsten, Hans. Moment structure of a family of first-order exponential GARCH models. Econometric Theory 2002. 18:868-885
• Terasvirta, Timo, Teraesvirta, Timo, Lundbergh, Stefan, Teräsvirta, Timo. Evaluating GARCH models. Journal of Econometrics 2002. 110:417-435
• Terasvirta, Timo, Teraesvirta, Timo, Teräsvirta, Timo, Eliasson, Ann-Charlotte. Non-linear error correction and the UK demand for broad money, 1878-1993. Journal of Applied Econometrics 2001. 16:277-288
• Franses, Philip Hans, Teräsvirta, Timo. Introduction to the special issue: Nonlinear modeling of multivariate macroeconomic relations. Macroeconomic Dynamics 2001. 5:461-465
• Eliasson, Ann-Charlotte, Teräsvirta, Timo. Non-linear error correction and the UK demand for broad money, 1878–1993. Journal of Applied Econometrics 2001. 16:-
• Terasvirta, Timo, Teraesvirta, Timo, Rech, Gianluigi, Teräsvirta, Timo, Tschernig, Rolf. A simple variable selection technique for nonlinear models. Communications in Statistics: Theory and Methods 2001. 30:1227-1241
• Terasvirta, Timo, Teraesvirta, Timo, He, Changli, Teräsvirta, Timo. Properties of moments of a family of GARCH processes. Journal of Econometrics 1999. 92:173-192
• Teräsvirta, Timo, Skalin, Joakim. Another look at Swedish business cycles, 1861–1988. Journal of Applied Econometrics 1999. 14:359-378
• Terasvirta, Timo, Teraesvirta, Timo, Skalin, Joakim, Teräsvirta, Timo. Another look at Swedish business cycles, 1861-1988. Journal of Applied Econometrics 1999. 14:359-378
• Terasvirta, Timo, Teraesvirta, Timo, Lin, Chien-Fu Jeff, Teräsvirta, Timo. Testing parameter constancy in linear models against stochastic stationary parameters. Journal of Econometrics 1999. 90:193-213
• Wolters, Juergen, Lutkepohl, Helmut, Luetkepohl, Helmut, Terasvirta, Timo, Teraesvirta, Timo, Wolters, Jurgen, Lütkepohl, Helmut, Teräsvirta, Timo, Wolters, Jürgen. Investigating stability and linearity of a German M1 money demand function. Journal of Applied Econometrics 1999. 14:511-525
• Terasvirta, Timo, Teraesvirta, Timo, He, Changli, Teräsvirta, Timo. Properties of the autocorrelation function of squared observations for second-order GARCH processes under two sets of parameter constraints. Journal of Time Series Analysis 1999. 20:23-30
• Terasvirta, Timo, Teraesvirta, Timo, He, Changli, Teräsvirta, Timo. Fourth moment structure of the GARCH$(p,q)$ process. Econometric Theory 1999. 15:824-846
• Terasvirta, Timo, Brannas, Kurt, Braennaes, Kurt, Teraesvirta, Timo, Brännäs, Kurt, De Gooijer, Jan G., Teräsvirta, Timo. Testing linearity against nonlinear moving average models. Communications in Statistics: Theory and Methods 1998. 27:2025-2035
• Aasbrink, Stefan, Ryden, Tobias, Terasvirta, Timo, Teraesvirta, Timo, Asbrink, Stefan, Rydén, Tobias, Teräsvirta, Timo, Åsbrink, Stefan. Stylized facts of daily return series and the hidden Markov model. Journal of Applied Econometrics 1998. 13:217-244
• Terasvirta, Timo, Teraesvirta, Timo, Teräsvirta, Timo. Modeling economic relationships with smooth transition regressions.
• Teräsvirta, Timo, Jansen, Eilev S.. TESTING PARAMETER CONSTANCY AND SUPER EXOGENEITY IN ECONOMETRIC EQUATIONS. Oxford Bulletin of Economics and Statistics 1996. 58:735-763
• Terasvirta, Timo, Teraesvirta, Timo, Teräsvirta, Timo. Power Properties of Linearity Tests for Time Series. Studies in Nonlinear Dynamics and Econometrics 1996. 1:NA-NA
• Eitrheim, Oyvind, Eitrheim, Oeyvind, Terasvirta, Timo, Teraesvirta, Timo, Eitrheim, Øyvind, Teräsvirta, Timo. Testing the adequacy of smooth transition autoregressive models. Journal of Econometrics 1996. 74:59-75
• Terasvirta, Timo, Teraesvirta, Timo, Kauppi, Eija, Lassila, Jukka, Teräsvirta, Timo. Short-term forecasting of industrial production with business survey data: Experience from Finland's great depression 1990-1993. International Journal of Forecasting 1996. 12:373-381
• Terasvirta, Timo, Teraesvirta, Timo, Teräsvirta, Timo. Professor Clive W. J. Granger: An interview for the International Journal of Forecasting. International Journal of Forecasting 1995. 11:585-590
• Terasvirta, Timo, Teraesvirta, Timo, Lin, Chien-Fu Jeff, Teräsvirta, Timo. Testing the constancy of regression parameters against continuous structural change. Journal of Econometrics 1994. 62:211-228
• Teräsvirta, Timo, Tjøstheim, Dag, Granger, Clive W. J.. Aspects of modelling nonlinear time series.
• Terasvirta, Timo, Teraesvirta, Timo, Teräsvirta, Timo. Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association 1994. 89:208-218
• Terasvirta, Timo, Teraesvirta, Timo, Deutsch, Melinda, Granger, Clive W. J., Teräsvirta, Timo. The combination of forecasts using changing weights. International Journal of Forecasting 1994. 10:47-57
• Terasvirta, Timo, Teraesvirta, Timo, Teräsvirta, Timo, Lin, Chien-Fu, Granger, Clive W. J.. Power of the neural network linearity test. Journal of Time Series Analysis 1993. 14:209-220
• Terasvirta, Timo, Teraesvirta, Timo, Rahiala, Markku, Teräsvirta, Timo. Business survey data in forecasting the output of Swedish and Finnish metal and engineering industries: A Kalman filter approach. Journal of Forecasting 1993. 12:255-271
• Terasvirta, Timo, Teraesvirta, Timo, Mellin, Ilkka, Teräsvirta, Timo. Estimating the smoothing parameter in piecewise constant regression.
• Terasvirta, Timo, Teraesvirta, Timo, Granger, Clive W. J., Teräsvirta, Timo. Experiments in modeling nonlinear relationships between time series.
• Terasvirta, Timo, Boucelham, Jamel, Teräsvirta, Timo. Use of preliminary values in forecasting industrial production. International Journal of Forecasting 1990. 6:463-468
• Terasvirta, Timo, Teraaesvirta, Timo, Teräsvirta, Timo. Estimating linear models with incomplete ellipsoidal restrictions. Statistics 1989. 20:187-194
• Teräsvirta, Timo. A review of PC-give: A statistical package for econometric modelling. Journal of Applied Econometrics 1988. 3:333-340
• Terasvirta, Timo, Teraaesvirta, Timo, Rahiala, Markku, Teräsvirta, Timo. Formation of firms' production decisions in Finnish manufacturing industries. Journal of Applied Econometrics 1988. 3:125-137
• Terasvirta, Timo, Teraaesvirta, Timo, Luukkonen, Ritva, Saikkonen, Pentti, Teräsvirta, Timo. Testing linearity against smooth transition autoregressive models. Biometrika 1988. 75:491-499
• Terasvirta, Timo, Teraaesvirta, Timo, Luukkonen, Ritva, Saikkonen, Pentti, Teräsvirta, Timo. Testing linearity in univariate time series models. Scandinavian Journal of Statistics 1988. 15:161-175
• Terasvirta, Timo, Teraaesvirta, Timo, Teräsvirta, Timo. Superiority comparisons between mixed regression estimators. Communications in Statistics: Theory and Methods 1988. 17:3537-3546
• Teräsvirta, Timo, Teraaesvirta, Timo, Terasvirta, Timo. Smoothness in regression: Asymptotic considerations.
• Teräsvirta, Timo. MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS. Journal of Time Series Analysis 1985. 6:171-180
• Terasvirta, Timo, Teräsvirta, Timo. A note on bias in the Almon distributed lag estimator. Econometrica 1976. 44:1317-1321