Details about Annastiina Silvennoinen

Access statistics for papers by Annastiina Silvennoinen.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: psi115

Working Papers

2023

1. Long Monthly European Temperature Series and the North Atlantic Oscillation
   Economics Working Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Long monthly European temperature series and the North Atlantic Oscillation, Energy Economics, Elsevier (2023) (2023)

2022

2. A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model, Econometrics, MDPI (2022) View citations (1) (2022)

2021

3. Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2018

4. Models with Multiplicative Decomposition of Conditional Variances and Correlations
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   Also in NIPE Working Papers, NIPE - Universidade do Minho (2018) View citations (3)
5. Transition from the Taylor rule to the zero lower bound
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article Transition from the Taylor rule to the zero lower bound, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2022) (2022)

2017

6. Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
7. Modelling and forecasting WIG20 daily returns
   NIPE Working Papers, NIPE - Universidade do Minho View citations (7)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (6)
   See also Journal Article Modelling and Forecasting WIG20 Daily Returns, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2017) View citations (6) (2017)

2016

8. Volatility Dependent Dynamic Equicorrelation
   NCER Working Paper Series, National Centre for Econometric Research

2015

9. Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
   NCER Working Paper Series, National Centre for Econometric Research
   See also Journal Article Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics, Journal of Futures Markets, John Wiley & Sons, Ltd. (2016) View citations (27) (2016)
10. Testing constancy of unconditional variance in volatility models by misspecification and specification tests
    NCER Working Paper Series, National Centre for Econometric Research
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
    See also Journal Article Testing constancy of unconditional variance in volatility models by misspecification and specification tests, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2016) View citations (10) (2016)

2014

11. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
    NCER Working Paper Series, National Centre for Econometric Research View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (2)
    See also Journal Article A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (12) (2016)

2013

12. On the Benefits of Equicorrelation for Portfolio Allocation
    NCER Working Paper Series, National Centre for Econometric Research View citations (3)

2012

13. Forecasting multivariate volatility in larger dimensions: some practical issues
    NCER Working Paper Series, National Centre for Econometric Research
14. Modelling conditional correlations of asset returns: A smooth transition approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
    See also Journal Article Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach, Econometric Reviews, Taylor & Francis Journals (2015) View citations (37) (2015)

2011

15. Volatility timing and portfolio selection: How best to forecast volatility
    NCER Working Paper Series, National Centre for Econometric Research

2010

16. Financialization, Crisis and Commodity Correlation Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (64)
    See also Journal Article Financialization, crisis and commodity correlation dynamics, Journal of International Financial Markets, Institutions and Money, Elsevier (2013) View citations (429) (2013)
17. Portfolio allocation: Getting the most out of realised volatility
    NCER Working Paper Series, National Centre for Econometric Research

2009

18. On the economic benefit of utility based estimation of a volatility model
    NCER Working Paper Series, National Centre for Econometric Research

2008

19. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2007) View citations (10)
    See also Journal Article Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model, Journal of Financial Econometrics, Oxford University Press (2009) View citations (79) (2009)
20. Multivariate GARCH models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (97)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (60)
21. Parameterizing unconditional skewness in models for financial time series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (21)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (6)
    See also Journal Article Parameterizing Unconditional Skewness in Models for Financial Time Series, Journal of Financial Econometrics, Oxford University Press (2008) View citations (19) (2008)

2005

22. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (64)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2005) View citations (53)

Journal Articles

2024

1. Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
   Journal of Econometrics, 2024, 239, (1)

2023

2. Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks
   Econometrics, 2023, 11, (1), 1-37 View citations (1)
3. Long monthly European temperature series and the North Atlantic Oscillation
   Energy Economics, 2023, 126, (C)
   See also Working Paper Long Monthly European Temperature Series and the North Atlantic Oscillation, Economics Working Papers (2023) (2023)

2022

4. A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model
   Econometrics, 2022, 10, (3), 1-41 View citations (1)
   See also Working Paper A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model, CREATES Research Papers (2022) View citations (1) (2022)
5. Transition from the Taylor rule to the zero lower bound
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (5), 635-647
   See also Working Paper Transition from the Taylor rule to the zero lower bound, CREATES Research Papers (2018) View citations (1) (2018)

2019

6. Volatility-dependent correlations: further evidence of when, where and how
   Empirical Economics, 2019, 57, (2), 505-540 View citations (5)

2017

7. Modelling and Forecasting WIG20 Daily Returns
   Central European Journal of Economic Modelling and Econometrics, 2017, 9, (3), 173-200 View citations (6)
   See also Working Paper Modelling and forecasting WIG20 daily returns, NIPE Working Papers (2017) View citations (7) (2017)

2016

8. A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market
   Journal of Applied Econometrics, 2016, 31, (4), 707-733 View citations (12)
   See also Working Paper A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market, NCER Working Paper Series (2014) View citations (2) (2014)
9. Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
   Journal of Futures Markets, 2016, 36, (6), 522-544 View citations (27)
   See also Working Paper Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics, NCER Working Paper Series (2015) (2015)
10. Testing constancy of unconditional variance in volatility models by misspecification and specification tests
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 347-364 View citations (10)
    See also Working Paper Testing constancy of unconditional variance in volatility models by misspecification and specification tests, NCER Working Paper Series (2015) (2015)

2015

11. Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
    Econometric Reviews, 2015, 34, (1-2), 174-197 View citations (37)
    See also Working Paper Modelling conditional correlations of asset returns: A smooth transition approach, CREATES Research Papers (2012) View citations (6) (2012)

2013

12. Financialization, crisis and commodity correlation dynamics
    Journal of International Financial Markets, Institutions and Money, 2013, 24, (C), 42-65 View citations (429)
    See also Working Paper Financialization, Crisis and Commodity Correlation Dynamics, Research Paper Series (2010) View citations (64) (2010)
13. Volatility timing: How best to forecast portfolio exposures
    Journal of Empirical Finance, 2013, 24, (C), 108-115 View citations (9)

2009

14. Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
    Journal of Financial Econometrics, 2009, 7, (4), 373-411 View citations (79)
    See also Working Paper Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model, CREATES Research Papers (2008) View citations (3) (2008)

2008

15. Parameterizing Unconditional Skewness in Models for Financial Time Series
    Journal of Financial Econometrics, 2008, 6, (2), 208-230 View citations (19)
    See also Working Paper Parameterizing unconditional skewness in models for financial time series, CREATES Research Papers (2008) View citations (21) (2008)