Details about Timo Teräsvirta

E-mail:
Phone:	+45 8716 5563
Postal address:	CREATES Aarhus University Fuglesangs Allé 4 DK-8210 Aarhus V Denmark
Workplace:	Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Timo Teräsvirta.

Last updated 2024-12-09. Update your information in the RePEc Author Service.

Short-id: pte1

---

Jump to Journal Articles Books Edited books Chapters

Working Papers

2024

1. A new GARCH model with a deterministic time-varying intercept
   Papers, arXiv.org

2023

2. 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

3. 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

4. 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 (3)

2019

5. Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model, Energy Economics, Elsevier (2021) View citations (3) (2021)
6. Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model
   Working papers, Yonsei University, Yonsei Economics Research Institute View citations (2)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2019) View citations (2)
7. Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   See also Journal Article Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model, Journal of Econometrics, Elsevier (2024) (2024)

2018

8. Models with Multiplicative Decomposition of Conditional Variances and Correlations
   NIPE Working Papers, NIPE - Universidade do Minho View citations (3)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) View citations (3)
9. The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016, Econometrics and Statistics, Elsevier (2019) View citations (5) (2019)
10. 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

11. 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)
    See also Journal Article Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model, Econometrics and Statistics, Elsevier (2024) (2024)
12. Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis, Journal of Econometrics, Elsevier (2020) View citations (5) (2020)
13. 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)
14. Nonlinear models in macroeconometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
15. Panel Smooth Transition Regression Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (248)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (108)
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (258)
16. Sir Clive Granger's contributions to nonlinear time series and econometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2015

17. Testing constancy of unconditional variance in volatility models by misspecification and specification tests
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in NCER Working Paper Series, National Centre for Econometric Research (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 (11) (2016)

2014

18. A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model, Econometric Reviews, Taylor & Francis Journals (2017) View citations (6) (2017)
19. 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 (13) (2016)
20. Linearity and Misspecification Tests for Vector Smooth Transition Regression Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (49)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (34)
21. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (43)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (33)

2013

22. Financial sector and output dynamics in the euro area countries
    ZEW policy briefs, ZEW - Leibniz Centre for European Economic Research View citations (3)
23. Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
    Post-Print, HAL View citations (13)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2012) View citations (18)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (12)
24. Thresholds and Smooth Transitions in Vector Autoregressive Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (71)

2012

25. Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
26. Modelling Changes in the Unconditional Variance of Long Stock Return Series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2012) View citations (8)
    See also Journal Article Modelling changes in the unconditional variance of long stock return series, Journal of Empirical Finance, Elsevier (2014) View citations (40) (2014)
27. 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 (38) (2015)
28. Unit roots, nonlinearities and structural breaks
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Chapter Unit roots, non-linearities and structural breaks, Chapters, Edward Elgar Publishing (2013) View citations (1) (2013)

2011

29. Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations
    NIPE Working Papers, NIPE - Universidade do Minho View citations (3)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (3)
    See also Journal Article Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (22) (2014)
30. Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques, Econometric Reviews, Taylor & Francis Journals (2016) View citations (12) (2016)
31. Forecasting inflation with gradual regime shifts and exogenous information
    Working Paper Series, European Central Bank View citations (9)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (7)
32. Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009, International Journal of Forecasting, Elsevier (2014) View citations (19) (2014)
33. Modelling Volatility by Variance Decomposition
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2011) View citations (16)
    See also Journal Article Modelling volatility by variance decomposition, Journal of Econometrics, Elsevier (2013) View citations (76) (2013)
34. Nonlinear models for autoregressive conditional heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2010

35. Forecasting with nonlinear time series models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (17)

2008

36. Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
    NIPE Working Papers, NIPE - Universidade do Minho View citations (44)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2008) View citations (38)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (44)
37. 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 (80) (2009)
38. 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)
39. 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)
40. Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Positivity constraints on the conditional variances in the family of conditional correlation GARCH models, Finance Research Letters, Elsevier (2008) View citations (23) (2008)
41. Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    See also Journal Article Testing for volatility interactions in the Constant Conditional Correlation GARCH model, Econometrics Journal, Royal Economic Society (2009) View citations (55) (2009)

2007

42. Modelling autoregressive processes with a shifting mean
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    Also in Borradores de Economia, Banco de la Republica (2006) View citations (3)
    Borradores de Economia, Banco de la Republica de Colombia (2006) View citations (4)
    See also Journal Article Modelling Autoregressive Processes with a Shifting Mean, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2008) View citations (8) (2008)
43. Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    See also Journal Article Stylized facts of return series, robust estimates and three popular models of volatility, Applied Financial Economics, Taylor & Francis Journals (2011) View citations (25) (2011)

2006

44. An introduction to univariate GARCH models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (9)
45. Testing constancy of the error covariance matrix in vector models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
    See also Journal Article Testing constancy of the error covariance matrix in vector models, Journal of Econometrics, Elsevier (2007) View citations (10) (2007)

2005

46. Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (20)
47. Forecasting economic variables with nonlinear models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)
    See also Chapter Forecasting economic variables with nonlinear models, Handbook of Economic Forecasting, Elsevier (2006) View citations (29) (2006)
48. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (53)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (65)
49. Simulation-based finite-sample linearity test against smooth transition models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Simulation‐based Finite Sample Linearity Test against Smooth Transition Models*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (10) (2006)
50. Testing parameter constancy in stationary vector autoregressive models against continuous change
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    See also Journal Article Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change, Econometric Reviews, Taylor & Francis Journals (2009) View citations (14) (2009)
51. Univariate nonlinear time series models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)

2004

52. A Time Series Model for an Exchange Rate in a Target Zone with Applications
    Econometric Society 2004 Australasian Meetings, Econometric Society
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2003) View citations (4)
    See also Journal Article A time series model for an exchange rate in a target zone with applications, Journal of Econometrics, Elsevier (2006) View citations (46) (2006)
53. Evaluating models of autoregressive conditional duration
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    See also Journal Article Evaluating Models of Autoregressive Conditional Duration, Journal of Business & Economic Statistics, American Statistical Association (2006) View citations (57) (2006)
54. Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (5)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2004) View citations (3)
    See also Journal Article Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination, International Journal of Forecasting, Elsevier (2005) View citations (96) (2005)
55. Stylized Facts of Financial Time Series and Three Popular Models of Volatility
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (23)
56. The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001)
    See also Journal Article The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series, Econometrics Journal, Royal Economic Society (2003) View citations (34) (2003)

2003

57. Common factors in conditional distributions for Bivariate time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    Also in FMG Discussion Papers, Financial Markets Group (2003) View citations (4)
    See also Journal Article Common factors in conditional distributions for bivariate time series, Journal of Econometrics, Elsevier (2006) View citations (41) (2006)

2002

58. An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE, Econometric Theory, Cambridge University Press (2004) View citations (51) (2004)
59. An application of the analogy between vector ARCH and vector random coefficient autoregressive models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)
60. Building Neural Network Models for Time Series: A Statistical Approach
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (13)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (8)
    See also Journal Article Building neural network models for time series: a statistical approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2006) View citations (50) (2006)
61. Common Factors in Conditional Distributions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (2)
62. Error correction in DHSY
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics

2001

63. Evaluating GARCH models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999)
    See also Journal Article Evaluating GARCH models, Journal of Econometrics, Elsevier (2002) View citations (100) (2002)
64. Smooth Transition Autoregressive Models - A Survey of Recent Developments
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (69)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (20)
    See also Journal Article SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS, Econometric Reviews, Taylor & Francis Journals (2002) View citations (526) (2002)
65. Statistical methods for modelling neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil)

2000

66. A simple variable selection technique for nonlinear models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (10)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (17)
67. Forecasting with smooth transition autoregressive models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)
68. Time-Varying Smooth Transition Autoregressive Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (9)
    See also Journal Article Time-Varying Smooth Transition Autoregressive Models, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (109) (2003)

1999

69. A General Framework for Testing the Granger Noncausality Hypothesis
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (7)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1999) View citations (12)
70. Fourth Moment Structure of a Family of First-Order Exponential GARCH Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (10)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (1999) View citations (11)
71. Higher-order dependence in the general Power ARCH process and a special case
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (7)
72. Modelling Economic High-Frequency Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
73. Modelling asymmetries and moving equilibria in unemployment rates
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (32)
    See also Journal Article MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES, Macroeconomic Dynamics, Cambridge University Press (2002) View citations (119) (2002)
74. THE NET BARTER TERMS OF TRADE: A SMOOTH TRANSITION APPROACH
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article The net barter terms of trade: A smooth transition approach, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2003) View citations (8) (2003)

1998

75. A nonlinear time series model of El Niño
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (24)
76. A simple nonlinear time series model with misleading linear properties
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article A simple nonlinear time series model with misleading linear properties, Economics Letters, Elsevier (1999) View citations (131) (1999)
77. Modelling economic high-frequency time series with STAR-STGARCH models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (33)
78. Nonlinear error-correction and the UK demand for broad money, 1878-1993
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)

1997

79. Fourth Moment Structure of the GARCH (p, q) Process
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
    See also Journal Article FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS, Econometric Theory, Cambridge University Press (1999) View citations (50) (1999)
80. Properties of Moments of a Family of GARCH Processes
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Properties of moments of a family of GARCH processes, Journal of Econometrics, Elsevier (1999) View citations (125) (1999)
81. Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints, Journal of Time Series Analysis, Wiley Blackwell (1999) View citations (5) (1999)
82. Statistical Properties of the Asymmetric Power ARCH Process
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)
83. Testing Linearity against Nonlinear Moving Average Models
    Umeå Economic Studies, Umeå University, Department of Economics
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1996)

1996

84. Another Look at Swedish Business Cycles, 1861-1988
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1996)
    See also Journal Article Another Look at Swedish Business Cycles, 1861-1988, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1999) View citations (52) (1999)
85. Modelling Economic Relationships with Smooth Transition Regressions
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)
86. Modelling the Demand for M3 in the Unified Germany
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1996) View citations (8)
    See also Journal Article Modeling The Demand For M3 In The Unified Germany, The Review of Economics and Statistics, MIT Press (1998) View citations (39) (1998)
87. Power Properties of Linearity Tests for Time Series
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    See also Journal Article Power Properties of Linearity Tests for Time Series, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1996) View citations (5) (1996)
88. Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finland's Great Depression
    Discussion Papers, The Research Institute of the Finnish Economy View citations (14)
89. Smooth Transition Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (183)
90. Stylized Facts of Daily Return Series and the Hidden Markov Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Stylized facts of daily return series and the hidden Markov model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1998) View citations (151) (1998)
91. Two Stylized Facts and the Garch (1,1) Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)

1995

92. Investigating Stability and Linearity of a German M1 Money Demand Function
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1995) View citations (9)
    See also Journal Article Investigating Stability and Linearity of a German M1 Money Demand Function, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1999) View citations (52) (1999)
93. Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1995)
    See also Journal Article Testing parameter constancy in linear models against stochastic stationary parameters, Journal of Econometrics, Elsevier (1999) View citations (5) (1999)
94. Testing Parameter Constancy and super Exogeneity in Econometric Equations
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Testing Parameter Constancy and Super Exogeneity in Econometric Equations, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1996) View citations (144) (1996)
95. Testing the Adequacy of Smooth Transition Autoregressive Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Testing the adequacy of smooth transition autoregressive models, Journal of Econometrics, Elsevier (1996) View citations (462) (1996)

1991

96. Forecasting the Outputof Finnish Forest Industries Using Business Survey Data
    Discussion Papers, The Research Institute of the Finnish Economy

1989

97. How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production?
    Discussion Papers, The Research Institute of the Finnish Economy
98. Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis
    Discussion Papers, The Research Institute of the Finnish Economy

1988

99. A Review of PC-GIVE: A Statistical Package for Econometric Modelling
    Discussion Papers, The Research Institute of the Finnish Economy
100. Testing Linearity of Economic Time Series against Cyclical A symmetry
     Discussion Papers, The Research Institute of the Finnish Economy View citations (1)

1981

101. Some results on improving the least squares estimation of linear models by mixed estimation
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

1980

102. The polynomial distributed lag revisited
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
     See also Journal Article The Polynomial Distributed Lag Revisited, Empirical Economics, Springer (1980) (1980)

Journal Articles

2024

1. Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
   Econometrics and Statistics, 2024, 32, (C), 57-72
   See also Working Paper Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model, CREATES Research Papers (2017) View citations (5) (2017)
2. Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
   Journal of Econometrics, 2024, 239, (1)
   See also Working Paper Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model, CREATES Research Papers (2019) View citations (2) (2019)

2023

3. 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)
4. 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

5. 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)
6. Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
   Econometric Reviews, 2022, 41, (8), 966-984 View citations (2)
7. 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)

2021

8. Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
   Energy Economics, 2021, 97, (C) View citations (3)
   See also Working Paper Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model, CREATES Research Papers (2019) View citations (1) (2019)

2020

9. Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis
   Journal of Econometrics, 2020, 214, (1), 198-215 View citations (5)
   See also Working Paper Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis, CREATES Research Papers (2017) (2017)

2019

10. The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016
    Econometrics and Statistics, 2019, 12, (C), 1-24 View citations (5)
    See also Working Paper The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016, CREATES Research Papers (2018) (2018)

2017

11. A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
    Econometric Reviews, 2017, 36, (6-9), 599-621 View citations (6)
    See also Working Paper A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model, CREATES Research Papers (2014) View citations (1) (2014)
12. 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)
13. Specification and testing of multiplicative time-varying GARCH models with applications
    Econometric Reviews, 2017, 36, (4), 421-446 View citations (29)

2016

14. 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 (13)
    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)
15. Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques
    Econometric Reviews, 2016, 35, (8-10), 1753-1779 View citations (12)
    See also Working Paper Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques, CREATES Research Papers (2011) View citations (7) (2011)
16. 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 (11)
    See also Working Paper Testing constancy of unconditional variance in volatility models by misspecification and specification tests, CREATES Research Papers (2015) (2015)

2015

17. Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
    Econometric Reviews, 2015, 34, (1-2), 174-197 View citations (38)
    See also Working Paper Modelling conditional correlations of asset returns: A smooth transition approach, CREATES Research Papers (2012) View citations (6) (2012)

2014

18. Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations
    Journal of Business & Economic Statistics, 2014, 32, (1), 69-87 View citations (22)
    See also Working Paper Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations, NIPE Working Papers (2011) View citations (3) (2011)
19. Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009
    International Journal of Forecasting, 2014, 30, (3), 616-631 View citations (19)
    See also Working Paper Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009, CREATES Research Papers (2011) View citations (1) (2011)
20. Modelling changes in the unconditional variance of long stock return series
    Journal of Empirical Finance, 2014, 25, (C), 15-35 View citations (40)
    See also Working Paper Modelling Changes in the Unconditional Variance of Long Stock Return Series, CREATES Research Papers (2012) View citations (5) (2012)

2013

21. Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques
    Finnish Economic Papers, 2013, 26, (1), 13-24 View citations (16)
22. Modelling volatility by variance decomposition
    Journal of Econometrics, 2013, 175, (2), 142-153 View citations (76)
    See also Working Paper Modelling Volatility by Variance Decomposition, CREATES Research Papers (2011) View citations (8) (2011)

2011

23. Stylized facts of return series, robust estimates and three popular models of volatility
    Applied Financial Economics, 2011, 21, (1-2), 67-94 View citations (25)
    See also Working Paper Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility, SSE/EFI Working Paper Series in Economics and Finance (2007) View citations (4) (2007)

2010

24. Sir Clive William John Granger, 1934-2009
    New Zealand Economic Papers, 2010, 44, (2), 121-127
25. Working With Clive Granger: Two Short Memories
    Journal of Financial Econometrics, 2010, 8, (2), 191-192

2009

26. 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 (80)
    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)
27. Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
    Econometric Reviews, 2009, 28, (1-3), 225-245 View citations (14)
    See also Working Paper Testing parameter constancy in stationary vector autoregressive models against continuous change, SSE/EFI Working Paper Series in Economics and Finance (2005) View citations (4) (2005)
28. Testing for volatility interactions in the Constant Conditional Correlation GARCH model
    Econometrics Journal, 2009, 12, (1), 147-163 View citations (55)
    See also Working Paper Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model, SSE/EFI Working Paper Series in Economics and Finance (2008) View citations (4) (2008)

2008

29. Modelling Autoregressive Processes with a Shifting Mean
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 28 View citations (8)
    See also Working Paper Modelling autoregressive processes with a shifting mean, SSE/EFI Working Paper Series in Economics and Finance (2007) View citations (3) (2007)
30. 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)
31. Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
    Finance Research Letters, 2008, 5, (2), 88-95 View citations (23)
    See also Working Paper Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models, SSE/EFI Working Paper Series in Economics and Finance (2008) (2008)

2007

32. Testing constancy of the error covariance matrix in vector models
    Journal of Econometrics, 2007, 140, (2), 753-780 View citations (10)
    See also Working Paper Testing constancy of the error covariance matrix in vector models, SSE/EFI Working Paper Series in Economics and Finance (2006) View citations (1) (2006)

2006

33. A sequential procedure for determining the number of regimes in a threshold autoregressive model
    Econometrics Journal, 2006, 9, (3), 472-491 View citations (20)
34. A time series model for an exchange rate in a target zone with applications
    Journal of Econometrics, 2006, 131, (1-2), 579-609 View citations (46)
    See also Working Paper A Time Series Model for an Exchange Rate in a Target Zone with Applications, Econometric Society 2004 Australasian Meetings (2004) (2004)
35. Building neural network models for time series: a statistical approach
    Journal of Forecasting, 2006, 25, (1), 49-75 View citations (50)
    See also Working Paper Building Neural Network Models for Time Series: A Statistical Approach, Textos para discussão (2002) View citations (13) (2002)
36. Common factors in conditional distributions for bivariate time series
    Journal of Econometrics, 2006, 132, (1), 43-57 View citations (41)
    See also Working Paper Common factors in conditional distributions for Bivariate time series, LSE Research Online Documents on Economics (2003) (2003)
37. Evaluating Models of Autoregressive Conditional Duration
    Journal of Business & Economic Statistics, 2006, 24, 104-124 View citations (57)
    See also Working Paper Evaluating models of autoregressive conditional duration, SSE/EFI Working Paper Series in Economics and Finance (2004) View citations (3) (2004)
38. Simulation‐based Finite Sample Linearity Test against Smooth Transition Models*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 797-812 View citations (10)
    See also Working Paper Simulation-based finite-sample linearity test against smooth transition models, SSE/EFI Working Paper Series in Economics and Finance (2005) (2005)

2005

39. Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
    International Journal of Forecasting, 2005, 21, (4), 755-774 View citations (96)
    See also Working Paper Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination, Textos para discussão (2004) View citations (5) (2004)
40. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783

2004

41. AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
    Econometric Theory, 2004, 20, (5), 904-926 View citations (51)
    See also Working Paper An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure, SSE/EFI Working Paper Series in Economics and Finance (2002) (2002)

2003

42. The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
    Econometrics Journal, 2003, 6, (1), 79-98 View citations (34)
    See also Working Paper The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series, SSE/EFI Working Paper Series in Economics and Finance (2004) View citations (1) (2004)
43. The net barter terms of trade: A smooth transition approach
    International Journal of Finance & Economics, 2003, 8, (1), 81-97 View citations (8)
    See also Working Paper THE NET BARTER TERMS OF TRADE: A SMOOTH TRANSITION APPROACH, SSE/EFI Working Paper Series in Economics and Finance (1999) (1999)
44. Time-Varying Smooth Transition Autoregressive Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 104-21 View citations (109)
    See also Working Paper Time-Varying Smooth Transition Autoregressive Models, SSE/EFI Working Paper Series in Economics and Finance (2000) View citations (9) (2000)

2002

45. Evaluating GARCH models
    Journal of Econometrics, 2002, 110, (2), 417-435 View citations (100)
    See also Working Paper Evaluating GARCH models, SSE/EFI Working Paper Series in Economics and Finance (2001) View citations (2) (2001)
46. Long memory and nonlinear time series
    Journal of Econometrics, 2002, 110, (2), 105-112 View citations (13)
47. MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
    Macroeconomic Dynamics, 2002, 6, (2), 202-241 View citations (119)
    See also Working Paper Modelling asymmetries and moving equilibria in unemployment rates, SSE/EFI Working Paper Series in Economics and Finance (1999) View citations (32) (1999)
48. MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
    Econometric Theory, 2002, 18, (4), 868-885 View citations (57)
49. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
    Econometric Reviews, 2002, 21, (1), 1-47 View citations (526)
    See also Working Paper Smooth Transition Autoregressive Models - A Survey of Recent Developments, SSE/EFI Working Paper Series in Economics and Finance (2001) View citations (69) (2001)

2001

50. INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS
    Macroeconomic Dynamics, 2001, 5, (4), 461-465 View citations (1)
51. Non-linear error correction and the UK demand for broad money, 1878-1993
    Journal of Applied Econometrics, 2001, 16, (3), 277-288 View citations (30)

1999

52. A simple nonlinear time series model with misleading linear properties
    Economics Letters, 1999, 62, (2), 161-165 View citations (131)
    See also Working Paper A simple nonlinear time series model with misleading linear properties, SSE/EFI Working Paper Series in Economics and Finance (1998) (1998)
53. Another Look at Swedish Business Cycles, 1861-1988
    Journal of Applied Econometrics, 1999, 14, (4), 359-78 View citations (52)
    See also Working Paper Another Look at Swedish Business Cycles, 1861-1988, SFB 373 Discussion Papers (1996) (1996)
54. FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
    Econometric Theory, 1999, 15, (6), 824-846 View citations (50)
    See also Working Paper Fourth Moment Structure of the GARCH (p, q) Process, SSE/EFI Working Paper Series in Economics and Finance (1997) View citations (2) (1997)
55. Investigating Stability and Linearity of a German M1 Money Demand Function
    Journal of Applied Econometrics, 1999, 14, (5), 511-25 View citations (52)
    See also Working Paper Investigating Stability and Linearity of a German M1 Money Demand Function, SFB 373 Discussion Papers (1995) View citations (3) (1995)
56. Properties of moments of a family of GARCH processes
    Journal of Econometrics, 1999, 92, (1), 173-192 View citations (125)
    See also Working Paper Properties of Moments of a Family of GARCH Processes, SSE/EFI Working Paper Series in Economics and Finance (1997) (1997)
57. 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, (1), 23-30 View citations (5)
    See also Working Paper Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints, SSE/EFI Working Paper Series in Economics and Finance (1997) (1997)
58. Testing parameter constancy in linear models against stochastic stationary parameters
    Journal of Econometrics, 1999, 90, (2), 193-213 View citations (5)
    See also Working Paper Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters, SFB 373 Discussion Papers (1995) (1995)

1998

59. Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993”
    Scandinavian Journal of Economics, 1998, 100, (1), 325-334
60. Modeling The Demand For M3 In The Unified Germany
    The Review of Economics and Statistics, 1998, 80, (3), 399-409 View citations (39)
    See also Working Paper Modelling the Demand for M3 in the Unified Germany, SFB 373 Discussion Papers (1996) View citations (3) (1996)
61. Stylized facts of daily return series and the hidden Markov model
    Journal of Applied Econometrics, 1998, 13, (3), 217-244 View citations (151)
    See also Working Paper Stylized Facts of Daily Return Series and the Hidden Markov Model, SSE/EFI Working Paper Series in Economics and Finance (1996) (1996)

1997

62. The International Institute of Forecasters Award for the Best Forecasting Paper
    International Journal of Forecasting, 1997, 13, (4), 591-592

1996

63. Power Properties of Linearity Tests for Time Series
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (1), 10 View citations (5)
    See also Working Paper Power Properties of Linearity Tests for Time Series, SSE/EFI Working Paper Series in Economics and Finance (1996) View citations (4) (1996)
64. Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993
    International Journal of Forecasting, 1996, 12, (3), 373-381 View citations (10)
65. Testing Parameter Constancy and Super Exogeneity in Econometric Equations
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 735-63 View citations (144)
    See also Working Paper Testing Parameter Constancy and super Exogeneity in Econometric Equations, SSE/EFI Working Paper Series in Economics and Finance (1995) (1995)
66. Testing the adequacy of smooth transition autoregressive models
    Journal of Econometrics, 1996, 74, (1), 59-75 View citations (462)
    See also Working Paper Testing the Adequacy of Smooth Transition Autoregressive Models, SSE/EFI Working Paper Series in Economics and Finance (1995) (1995)

1995

67. Modelling Nonlinearity in U.S. Gross National Product 1889-1987
    Empirical Economics, 1995, 20, (4), 577-97 View citations (3)
68. Professor Clive W.J. Granger: An interview for the International Journal of Forecasting
    International Journal of Forecasting, 1995, 11, (4), 585-590

1994

69. Testing the constancy of regression parameters against continuous structural change
    Journal of Econometrics, 1994, 62, (2), 211-228 View citations (246)
70. The combination of forecasts using changing weights
    International Journal of Forecasting, 1994, 10, (1), 47-57 View citations (64)

1993

71. POWER OF THE NEURAL NETWORK LINEARITY TEST
    Journal of Time Series Analysis, 1993, 14, (2), 209-220 View citations (77)

1992

72. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 View citations (599)

1990

73. Use of preliminary values in forecasting industrial production
    International Journal of Forecasting, 1990, 6, (4), 463-468 View citations (1)

1988

74. Formation of Firms' Production Decisions in Finnish Manufacturing Industries
    Journal of Applied Econometrics, 1988, 3, (2), 125-37

1987

75. The extended Stein procedure for simultaneous model selection and parameter estimation
    Journal of Econometrics, 1987, 35, (2-3), 375-391 View citations (1)
76. Usefulness of proxy variables in linear models with stochastic regressors
    Journal of Econometrics, 1987, 36, (3), 377-382 View citations (2)

1985

77. MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS
    Journal of Time Series Analysis, 1985, 6, (3), 171-180

1982

78. Underestimation of mean square error matrix in misspecified linear models
    Journal of Econometrics, 1982, 18, (2), 281-284

1980

79. The Polynomial Distributed Lag Revisited
    Empirical Economics, 1980, 5, (2), 69-81
    See also Working Paper The polynomial distributed lag revisited, LIDAM Reprints CORE (1980) (1980)

1976

80. A Note on Bias in the Almon Distributed Lag Estimator
    Econometrica, 1976, 44, (6), 1317-21
81. Forecasting the consumption of alcoholic beverages in Finland: A box-Jenkins approach
    European Economic Review, 1976, 8, (4), 349-369

Books

2010

1. Modelling Nonlinear Economic Time Series
   OUP Catalogue, Oxford University Press View citations (175)

1993

2. Modelling Non-Linear Economic Relationships
   OUP Catalogue, Oxford University Press View citations (451)

Edited books

2006

1. Nonlinear Econometric Modeling in Time Series
   Cambridge Books, Cambridge University Press

2000

2. Nonlinear Econometric Modeling in Time Series
   Cambridge Books, Cambridge University Press View citations (7)

Chapters

2013

1. 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 Central Bank
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 273-326
2. Unit roots, non-linearities and structural breaks
   Chapter 4 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 61-94 View citations (1)
   See also Working Paper Unit roots, nonlinearities and structural breaks, Department of Economics and Business Economics, Aarhus University (2012) View citations (3) (2012)

2006

3. Forecasting economic variables with nonlinear models
   Elsevier View citations (29)
   See also Working Paper Forecasting economic variables with nonlinear models, Stockholm School of Economics (2005) View citations (5) (2005)

1993

4. Modeling Nonlinearity over the Business Cycle
   A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 311-326 View citations (25)

1986

5. Aspects of modelling nonlinear time series
   Chapter 48 in Handbook of Econometrics, 1986, vol. 4, pp 2917-2957 View citations (5)