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), Aarhus Universitet (University of Aarhus), (more information at EDIRC) Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC)

Access statistics for papers by Timo Teräsvirta.

Last updated 2020-02-03. Update your information in the RePEc Author Service.

Short-id: pte1

---

Jump to Journal Articles Books Edited books Chapters Software Items

Working Papers

2019

1. 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
2. Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in Working papers, Yonsei University, Yonsei Economics Research Institute (2019)
3. 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

2018

4. Models with Multiplicative Decomposition of Conditional Variances and Correlations
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   Also in NIPE Working Papers, NIPE - Universidade do Minho (2018) View citations (1)
5. 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 in Econometrics and Statistics (2019)
6. Transition from the Taylor rule to the zero lower bound
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2017

7. 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 (2)
8. 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 in Journal of Econometrics (2020)
9. Modelling and forecasting WIG20 daily returns
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   Also in NIPE Working Papers, NIPE - Universidade do Minho (2017) View citations (3)
   See also Journal Article in Central European Journal of Economic Modelling and Econometrics (2017)
10. Nonlinear models in macroeconometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
11. Panel Smooth Transition Regression Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (186)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (207)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (29)
12. Sir Clive Granger's contributions to nonlinear time series and econometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2015

13. 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 in Studies in Nonlinear Dynamics & Econometrics (2016)

2014

14. 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 in Econometric Reviews (2017)
15. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2014) View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2016)
16. Linearity and Misspecification Tests for Vector Smooth Transition Regression Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (37)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (20)
17. 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 (29)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (17)

2013

18. Financial sector and output dynamics in the euro area countries
    ZEW policy briefs, ZEW - Leibniz Centre for European Economic Research View citations (3)
19. Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
    Post-Print, HAL View citations (7)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2012) View citations (15)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (7)
20. Thresholds and Smooth Transitions in Vector Autoregressive Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (38)

2012

21. 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 (2)
22. Modelling Changes in the Unconditional Variance of Long Stock Return Series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2012) View citations (8)
    See also Journal Article in Journal of Empirical Finance (2014)
23. 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 in Econometric Reviews (2015)
24. Unit roots, nonlinearities and structural breaks
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Chapter (2013)

2011

25. 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 in Journal of Business & Economic Statistics (2014)
26. 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 (4)
    See also Journal Article in Econometric Reviews (2016)
27. 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 (5)
28. 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 in International Journal of Forecasting (2014)
29. Modelling Volatility by Variance Decomposition
    NIPE Working Papers, NIPE - Universidade do Minho View citations (16)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (2)
    See also Journal Article in Journal of Econometrics (2013)
30. Nonlinear models for autoregressive conditional heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2010

31. Forecasting with nonlinear time series models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (15)

2008

32. Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2008) View citations (30)
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2008) View citations (14)
33. 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 (6)
    See also Journal Article in Journal of Financial Econometrics (2009)
34. Multivariate GARCH models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (22)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2008) View citations (68)
35. Parameterizing unconditional skewness in models for financial time series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (16)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (6)
    See also Journal Article in Journal of Financial Econometrics (2008)
36. 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 in Finance Research Letters (2008)
37. 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 (3)
    See also Journal Article in Econometrics Journal (2009)

2007

38. 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 REPÚBLICA (2006) View citations (3)
    Borradores de Economia, Banco de la Republica de Colombia (2006) View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)
39. 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 (1)
    See also Journal Article in Applied Financial Economics (2011)

2006

40. An introduction to univariate GARCH models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (8)
41. 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 in Journal of Econometrics (2007)

2005

42. 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 (17)
43. Forecasting economic variables with nonlinear models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    See also Chapter (2006)
44. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (44)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2005) View citations (34)
45. 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 in Oxford Bulletin of Economics and Statistics (2006)
46. 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 (3)
    See also Journal Article in Econometric Reviews (2009)
47. Univariate nonlinear time series models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)

2004

48. 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 in Journal of Econometrics (2006)
49. 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 in Journal of Business & Economic Statistics (2006)
50. 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 in International Journal of Forecasting (2005)
51. 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 (17)
52. 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 in Econometrics Journal (2003)

2003

53. Common factors in conditional distributions for Bivariate time series
    FMG Discussion Papers, Financial Markets Group View citations (4)
    See also Journal Article in Journal of Econometrics (2006)

2002

54. 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 in Econometric Theory (2004)
55. 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)
56. Building Neural Network Models for Time Series: A Statistical Approach
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (10)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (4)
    See also Journal Article in Journal of Forecasting (2006)
57. 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)
58. Error correction in DHSY
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics

2001

59. 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 in Journal of Econometrics (2002)
60. 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 in Econometric Reviews (2002)
61. Statistical methods for modelling neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil)

2000

62. A simple variable selection technique for nonlinear models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (8)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (15)
63. Forecasting with smooth transition autoregressive models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
64. Time-Varying Smooth Transition Autoregressive Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (8)
    See also Journal Article in Journal of Business & Economic Statistics (2003)

1999

65. A General Framework for Testing the Granger Noncausality Hypothesis
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (8)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1999) View citations (9)
66. 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 (8)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (1999) View citations (9)
67. 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)
68. Modelling Economic High-Frequency Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
69. 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 in Macroeconomic Dynamics (2002)
70. 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 in International Journal of Finance & Economics (2003)

1998

71. A nonlinear time series model of El Niño
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (26)
72. 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 in Economics Letters (1999)
73. 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 (20)
74. 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 (1)
    See also Journal Article in Journal of Applied Econometrics (2001)

1997

75. 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 in Econometric Theory (1999)
76. 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 in Journal of Econometrics (1999)
77. 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 in Journal of Time Series Analysis (1999)
78. Statistical Properties of the Asymmetric Power ARCH Process
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)
79. 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

80. Another Look at Swedish Business Cycles, 1861-1988
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1996)
    See also Journal Article in Journal of Applied Econometrics (1999)
81. Modelling Economic Relationships with Smooth Transition Regressions
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
82. 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 (9)
    See also Journal Article in The Review of Economics and Statistics (1998)
83. Power Properties of Linearity Tests for Time Series
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1996)
84. 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 (10)
85. Smooth Transition Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
86. 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 in Journal of Applied Econometrics (1998)
87. 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

88. Investigating Stability and Linearity of a German M1 Money Demand Function
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (9)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1995) View citations (3)
    See also Journal Article in Journal of Applied Econometrics (1999)
89. 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 in Journal of Econometrics (1999)
90. 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 in Oxford Bulletin of Economics and Statistics (1996)
91. 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 in Journal of Econometrics (1996)

1991

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

1989

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

1988

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

1981

97. 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)

1980

98. The polynomial distributed lag revisited
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in Empirical Economics (1980)

Journal Articles

2020

1. Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis
   Journal of Econometrics, 2020, 214, (1), 198-215
   See also Working Paper (2017)

2019

2. 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 (1)
   See also Working Paper (2018)

2017

3. A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
   Econometric Reviews, 2017, 36, (6-9), 599-621 View citations (4)
   See also Working Paper (2014)
4. Modelling and Forecasting WIG20 Daily Returns
   Central European Journal of Economic Modelling and Econometrics, 2017, 9, (3), 173-200 View citations (2)
   See also Working Paper (2017)
5. Specification and testing of multiplicative time-varying GARCH models with applications
   Econometric Reviews, 2017, 36, (4), 421-446 View citations (13)

2016

6. 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 (7)
   See also Working Paper (2014)
7. Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques
   Econometric Reviews, 2016, 35, (8-10), 1753-1779 View citations (6)
   See also Working Paper (2011)
8. 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 (2)
   See also Working Paper (2015)

2015

9. Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
   Econometric Reviews, 2015, 34, (1-2), 174-197 View citations (20)
   See also Working Paper (2012)

2014

10. Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations
    Journal of Business & Economic Statistics, 2014, 32, (1), 69-87 View citations (15)
    See also Working Paper (2011)
11. Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009
    International Journal of Forecasting, 2014, 30, (3), 616-631 View citations (9)
    See also Working Paper (2011)
12. Modelling changes in the unconditional variance of long stock return series
    Journal of Empirical Finance, 2014, 25, (C), 15-35 View citations (28)
    See also Working Paper (2012)

2013

13. 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 (14)
14. Modelling volatility by variance decomposition
    Journal of Econometrics, 2013, 175, (2), 142-153 View citations (48)
    See also Working Paper (2011)

2011

15. Stylized facts of return series, robust estimates and three popular models of volatility
    Applied Financial Economics, 2011, 21, (1-2), 67-94 View citations (18)
    See also Working Paper (2007)

2010

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

2009

18. 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 (60)
    See also Working Paper (2008)
19. 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 (2005)
20. Testing for volatility interactions in the Constant Conditional Correlation GARCH model
    Econometrics Journal, 2009, 12, (1), 147-163 View citations (38)
    See also Working Paper (2008)

2008

21. Modelling Autoregressive Processes with a Shifting Mean
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 1-28 View citations (6)
    See also Working Paper (2007)
22. Parameterizing Unconditional Skewness in Models for Financial Time Series
    Journal of Financial Econometrics, 2008, 6, (2), 208-230 View citations (16)
    See also Working Paper (2008)
23. Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
    Finance Research Letters, 2008, 5, (2), 88-95 View citations (22)
    See also Working Paper (2008)

2007

24. Testing constancy of the error covariance matrix in vector models
    Journal of Econometrics, 2007, 140, (2), 753-780 View citations (8)
    See also Working Paper (2006)

2006

25. A sequential procedure for determining the number of regimes in a threshold autoregressive model
    Econometrics Journal, 2006, 9, (3), 472-491 View citations (16)
26. 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 (40)
    See also Working Paper (2004)
27. Building neural network models for time series: a statistical approach
    Journal of Forecasting, 2006, 25, (1), 49-75 View citations (35)
    See also Working Paper (2002)
28. Common factors in conditional distributions for bivariate time series
    Journal of Econometrics, 2006, 132, (1), 43-57 View citations (39)
    See also Working Paper (2003)
29. Evaluating Models of Autoregressive Conditional Duration
    Journal of Business & Economic Statistics, 2006, 24, 104-124 View citations (52)
    See also Working Paper (2004)
30. Simulation‐based Finite Sample Linearity Test against Smooth Transition Models*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 797-812 View citations (5)
    See also Working Paper (2005)

2005

31. 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 (78)
    See also Working Paper (2004)
32. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783

2004

33. AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
    Econometric Theory, 2004, 20, (5), 904-926 View citations (42)
    See also Working Paper (2002)

2003

34. 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 (31)
    See also Working Paper (2004)
35. The net barter terms of trade: A smooth transition approach
    International Journal of Finance & Economics, 2003, 8, (1), 81-97 View citations (6)
    See also Working Paper (1999)
36. Time-Varying Smooth Transition Autoregressive Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 104-21 View citations (96)
    See also Working Paper (2000)

2002

37. Evaluating GARCH models
    Journal of Econometrics, 2002, 110, (2), 417-435 View citations (92)
    See also Working Paper (2001)
38. Long memory and nonlinear time series
    Journal of Econometrics, 2002, 110, (2), 105-112 View citations (11)
39. MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
    Macroeconomic Dynamics, 2002, 6, (2), 202-241 View citations (103)
    See also Working Paper (1999)
40. MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
    Econometric Theory, 2002, 18, (4), 868-885 View citations (53)
41. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
    Econometric Reviews, 2002, 21, (1), 1-47 View citations (461)
    See also Working Paper (2001)

2001

42. INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS
    Macroeconomic Dynamics, 2001, 5, (4), 461-465 View citations (1)
43. Non-linear error correction and the UK demand for broad money, 1878-1993
    Journal of Applied Econometrics, 2001, 16, (3), 277-288 View citations (22)
    See also Working Paper (1998)

1999

44. A simple nonlinear time series model with misleading linear properties
    Economics Letters, 1999, 62, (2), 161-165 View citations (119)
    See also Working Paper (1998)
45. Another Look at Swedish Business Cycles, 1861-1988
    Journal of Applied Econometrics, 1999, 14, (4), 359-78 View citations (44)
    See also Working Paper (1996)
46. FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
    Econometric Theory, 1999, 15, (6), 824-846 View citations (48)
    See also Working Paper (1997)
47. Investigating Stability and Linearity of a German M1 Money Demand Function
    Journal of Applied Econometrics, 1999, 14, (5), 511-25 View citations (49)
    See also Working Paper (1995)
48. Properties of moments of a family of GARCH processes
    Journal of Econometrics, 1999, 92, (1), 173-192 View citations (114)
    See also Working Paper (1997)
49. 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 (1)
    See also Working Paper (1997)
50. Testing parameter constancy in linear models against stochastic stationary parameters
    Journal of Econometrics, 1999, 90, (2), 193-213 View citations (3)
    See also Working Paper (1995)

1998

51. 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
52. 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 (1996)
53. Stylized facts of daily return series and the hidden Markov model
    Journal of Applied Econometrics, 1998, 13, (3), 217-244 View citations (114)
    See also Working Paper (1996)

1997

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

1996

55. Power Properties of Linearity Tests for Time Series
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (1), 1-10 View citations (4)
    See also Working Paper (1996)
56. 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 (9)
57. Testing Parameter Constancy and Super Exogeneity in Econometric Equations
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 735-63 View citations (115)
    See also Working Paper (1995)
58. Testing the adequacy of smooth transition autoregressive models
    Journal of Econometrics, 1996, 74, (1), 59-75 View citations (409)
    See also Working Paper (1995)

1995

59. Modelling Nonlinearity in U.S. Gross National Product 1889-1987
    Empirical Economics, 1995, 20, (4), 577-97 View citations (1)
60. Professor Clive W.J. Granger: An interview for the International Journal of Forecasting
    International Journal of Forecasting, 1995, 11, (4), 585-590

1994

61. Testing the constancy of regression parameters against continuous structural change
    Journal of Econometrics, 1994, 62, (2), 211-228 View citations (217)
62. The combination of forecasts using changing weights
    International Journal of Forecasting, 1994, 10, (1), 47-57 View citations (56)

1993

63. POWER OF THE NEURAL NETWORK LINEARITY TEST
    Journal of Time Series Analysis, 1993, 14, (2), 209-220 View citations (9)

1992

64. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 View citations (505)

1990

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

1988

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

1987

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

1985

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

1982

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

1980

71. The Polynomial Distributed Lag Revisited
    Empirical Economics, 1980, 5, (2), 69-81
    See also Working Paper (1980)

1976

72. A Note on Bias in the Almon Distributed Lag Estimator
    Econometrica, 1976, 44, (6), 1317-21
73. 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 (50)

1993

2. Modelling Non-Linear Economic Relationships
   OUP Catalogue, Oxford University Press View citations (249)

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 (2)

Chapters

2013

1. 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 (2012)

2006

2. Forecasting economic variables with nonlinear models
   Elsevier View citations (11)
   See also Working Paper (2005)

1993

3. Modeling Nonlinearity over the Business Cycle
   A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 311-326 View citations (19)

1986

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

Software Items