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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


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Working Papers

2024

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

2023

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

2022

  1. 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 Downloads 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) Downloads View citations (1) (2022)

2021

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

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 Downloads 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) Downloads View citations (3) (2021)
  2. Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2019) Downloads View citations (2)
  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 Downloads 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) Downloads (2024)

2018

  1. Models with Multiplicative Decomposition of Conditional Variances and Correlations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2018) Downloads View citations (3)
  2. 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 Downloads
    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) Downloads View citations (5) (2019)
  3. Transition from the Taylor rule to the zero lower bound
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads 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) Downloads (2022)

2017

  1. 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 Downloads 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) Downloads (2024)
  2. Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis, Journal of Econometrics, Elsevier (2020) Downloads View citations (5) (2020)
  3. Modelling and forecasting WIG20 daily returns
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (7)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) Downloads 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) Downloads View citations (6) (2017)
  4. Nonlinear models in macroeconometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  5. Panel Smooth Transition Regression Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (243)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (258)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) Downloads View citations (106)
  6. Sir Clive Granger's contributions to nonlinear time series and econometrics
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2015

  1. Testing constancy of unconditional variance in volatility models by misspecification and specification tests
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in NCER Working Paper Series, National Centre for Econometric Research (2015) Downloads

    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) Downloads View citations (11) (2016)

2014

  1. 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 Downloads 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) Downloads View citations (6) (2017)
  2. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads 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) Downloads View citations (13) (2016)
  3. Linearity and Misspecification Tests for Vector Smooth Transition Regression Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (48)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) Downloads View citations (33)
  4. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (42)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) Downloads View citations (32)

2013

  1. Financial sector and output dynamics in the euro area countries
    ZEW policy briefs, ZEW - Leibniz Centre for European Economic Research Downloads View citations (3)
  2. Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
    Post-Print, HAL View citations (13)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (12)
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2012) View citations (18)
  3. Thresholds and Smooth Transitions in Vector Autoregressive Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (70)

2012

  1. Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
  2. Modelling Changes in the Unconditional Variance of Long Stock Return Series
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (8)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (5)

    See also Journal Article Modelling changes in the unconditional variance of long stock return series, Journal of Empirical Finance, Elsevier (2014) Downloads View citations (40) (2014)
  3. Modelling conditional correlations of asset returns: A smooth transition approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach, Econometric Reviews, Taylor & Francis Journals (2015) Downloads View citations (38) (2015)
  4. Unit roots, nonlinearities and structural breaks
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Chapter Unit roots, non-linearities and structural breaks, Chapters, Edward Elgar Publishing (2013) Downloads View citations (1) (2013)

2011

  1. Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    Also in NIPE Working Papers, NIPE - Universidade do Minho (2011) Downloads 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) Downloads View citations (22) (2014)
  2. Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads 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) Downloads View citations (12) (2016)
  3. Forecasting inflation with gradual regime shifts and exogenous information
    Working Paper Series, European Central Bank Downloads View citations (9)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (7)
  4. Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads 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) Downloads View citations (19) (2014)
  5. Modelling Volatility by Variance Decomposition
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (16)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (8)

    See also Journal Article Modelling volatility by variance decomposition, Journal of Econometrics, Elsevier (2013) Downloads View citations (76) (2013)
  6. Nonlinear models for autoregressive conditional heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2010

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

2008

  1. Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (44)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2008) Downloads View citations (38)
    NIPE Working Papers, NIPE - Universidade do Minho (2008) Downloads View citations (44)
  2. 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 Downloads 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) Downloads View citations (80) (2009)
  3. Multivariate GARCH models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (60)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2008) Downloads View citations (97)
  4. Parameterizing unconditional skewness in models for financial time series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (21)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (6)

    See also Journal Article Parameterizing Unconditional Skewness in Models for Financial Time Series, Journal of Financial Econometrics, Oxford University Press (2008) Downloads View citations (19) (2008)
  5. 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) Downloads View citations (23) (2008)
  6. Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads 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

  1. 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 de Colombia (2006) Downloads View citations (4)
    Borradores de Economia, Banco de la Republica (2006) Downloads View citations (3)

    See also Journal Article Modelling Autoregressive Processes with a Shifting Mean, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2008) Downloads View citations (8) (2008)
  2. 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) Downloads View citations (25) (2011)

2006

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

2005

  1. 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 Downloads View citations (20)
  2. Forecasting economic variables with nonlinear models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (5)
    See also Chapter Forecasting economic variables with nonlinear models, Handbook of Economic Forecasting, Elsevier (2006) Downloads View citations (29) (2006)
  3. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (65)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2005) View citations (53)
  4. 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) Downloads View citations (10) (2006)
  5. 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) Downloads View citations (14) (2009)
  6. Univariate nonlinear time series models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)

2004

  1. A Time Series Model for an Exchange Rate in a Target Zone with Applications
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads
    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) Downloads View citations (46) (2006)
  2. Evaluating models of autoregressive conditional duration
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (3)
    See also Journal Article Evaluating Models of Autoregressive Conditional Duration, Journal of Business & Economic Statistics, American Statistical Association (2006) Downloads View citations (57) (2006)
  3. Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads 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) Downloads View citations (96) (2005)
  4. 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)
  5. 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 Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001) Downloads

    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

  1. Common factors in conditional distributions for Bivariate time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    Also in FMG Discussion Papers, Financial Markets Group (2003) Downloads View citations (4)

    See also Journal Article Common factors in conditional distributions for bivariate time series, Journal of Econometrics, Elsevier (2006) Downloads View citations (41) (2006)

2002

  1. 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) Downloads View citations (51) (2004)
  2. 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 Downloads View citations (5)
  3. Building Neural Network Models for Time Series: A Statistical Approach
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (13)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) Downloads 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) Downloads View citations (50) (2006)
  4. Common Factors in Conditional Distributions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2002) View citations (2)
  5. Error correction in DHSY
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads

2001

  1. 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) Downloads

    See also Journal Article Evaluating GARCH models, Journal of Econometrics, Elsevier (2002) Downloads View citations (100) (2002)
  2. Smooth Transition Autoregressive Models - A Survey of Recent Developments
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (69)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (20)

    See also Journal Article SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS, Econometric Reviews, Taylor & Francis Journals (2002) Downloads View citations (523) (2002)
  3. Statistical methods for modelling neural networks
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads

2000

  1. 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) Downloads View citations (17)
  2. Forecasting with smooth transition autoregressive models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)
  3. 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 (108) (2003)

1999

  1. 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)
  2. Fourth Moment Structure of a Family of First-Order Exponential GARCH Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (11)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1999) View citations (10)
  3. 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 Downloads View citations (7)
  4. Modelling Economic High-Frequency Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
  5. 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) Downloads View citations (119) (2002)
  6. 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) Downloads View citations (8) (2003)

1998

  1. A nonlinear time series model of El Niño
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (24)
  2. 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) Downloads View citations (131) (1999)
  3. Modelling economic high-frequency time series with STAR-STGARCH models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (33)
  4. 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

  1. 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) Downloads View citations (50) (1999)
  2. 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) Downloads View citations (125) (1999)
  3. 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) Downloads View citations (5) (1999)
  4. Statistical Properties of the Asymmetric Power ARCH Process
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)
  5. 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

  1. Another Look at Swedish Business Cycles, 1861-1988
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads
    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 Another Look at Swedish Business Cycles, 1861-1988, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1999) Downloads View citations (52) (1999)
  2. Modelling Economic Relationships with Smooth Transition Regressions
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)
  3. 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) Downloads View citations (39) (1998)
  4. 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) Downloads View citations (5) (1996)
  5. 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 Downloads View citations (14)
  6. Smooth Transition Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (183)
  7. 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) Downloads View citations (151) (1998)
  8. 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

  1. 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) Downloads View citations (52) (1999)
  2. 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) Downloads View citations (5) (1999)
  3. 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 (142) (1996)
  4. 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) Downloads View citations (460) (1996)

1991

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

1989

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

1988

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

1981

  1. 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

  1. 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 Downloads
    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) Downloads 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) Downloads
    See also Working Paper Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model, CREATES Research Papers (2019) Downloads View citations (2) (2019)

2023

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

2022

  1. A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model
    Econometrics, 2022, 10, (3), 1-41 Downloads 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) Downloads View citations (1) (2022)
  2. Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
    Econometric Reviews, 2022, 41, (8), 966-984 Downloads View citations (2)
  3. Transition from the Taylor rule to the zero lower bound
    Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (5), 635-647 Downloads
    See also Working Paper Transition from the Taylor rule to the zero lower bound, CREATES Research Papers (2018) Downloads View citations (1) (2018)

2021

  1. Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
    Energy Economics, 2021, 97, (C) Downloads 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) Downloads View citations (1) (2019)

2020

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

2019

  1. 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 Downloads 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) Downloads (2018)

2017

  1. A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
    Econometric Reviews, 2017, 36, (6-9), 599-621 Downloads 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) Downloads View citations (1) (2014)
  2. Modelling and Forecasting WIG20 Daily Returns
    Central European Journal of Economic Modelling and Econometrics, 2017, 9, (3), 173-200 Downloads View citations (6)
    See also Working Paper Modelling and forecasting WIG20 daily returns, NIPE Working Papers (2017) Downloads View citations (7) (2017)
  3. Specification and testing of multiplicative time-varying GARCH models with applications
    Econometric Reviews, 2017, 36, (4), 421-446 Downloads View citations (29)

2016

  1. A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market
    Journal of Applied Econometrics, 2016, 31, (4), 707-733 Downloads 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) Downloads View citations (2) (2014)
  2. Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques
    Econometric Reviews, 2016, 35, (8-10), 1753-1779 Downloads View citations (12)
    See also Working Paper Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques, CREATES Research Papers (2011) Downloads View citations (7) (2011)
  3. Testing constancy of unconditional variance in volatility models by misspecification and specification tests
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 347-364 Downloads View citations (11)
    See also Working Paper Testing constancy of unconditional variance in volatility models by misspecification and specification tests, CREATES Research Papers (2015) Downloads (2015)

2015

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

2014

  1. Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations
    Journal of Business & Economic Statistics, 2014, 32, (1), 69-87 Downloads View citations (22)
    See also Working Paper Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations, CREATES Research Papers (2011) Downloads View citations (3) (2011)
  2. Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009
    International Journal of Forecasting, 2014, 30, (3), 616-631 Downloads View citations (19)
    See also Working Paper Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009, CREATES Research Papers (2011) Downloads View citations (1) (2011)
  3. Modelling changes in the unconditional variance of long stock return series
    Journal of Empirical Finance, 2014, 25, (C), 15-35 Downloads View citations (40)
    See also Working Paper Modelling Changes in the Unconditional Variance of Long Stock Return Series, NIPE Working Papers (2012) Downloads View citations (8) (2012)

2013

  1. 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 Downloads View citations (16)
  2. Modelling volatility by variance decomposition
    Journal of Econometrics, 2013, 175, (2), 142-153 Downloads View citations (76)
    See also Working Paper Modelling Volatility by Variance Decomposition, NIPE Working Papers (2011) Downloads View citations (16) (2011)

2011

  1. Stylized facts of return series, robust estimates and three popular models of volatility
    Applied Financial Economics, 2011, 21, (1-2), 67-94 Downloads 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

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

2009

  1. Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
    Journal of Financial Econometrics, 2009, 7, (4), 373-411 Downloads 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) Downloads View citations (3) (2008)
  2. Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
    Econometric Reviews, 2009, 28, (1-3), 225-245 Downloads 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)
  3. 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) Downloads View citations (4) (2008)

2008

  1. Modelling Autoregressive Processes with a Shifting Mean
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 28 Downloads 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)
  2. Parameterizing Unconditional Skewness in Models for Financial Time Series
    Journal of Financial Econometrics, 2008, 6, (2), 208-230 Downloads View citations (19)
    See also Working Paper Parameterizing unconditional skewness in models for financial time series, CREATES Research Papers (2008) Downloads View citations (21) (2008)
  3. Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
    Finance Research Letters, 2008, 5, (2), 88-95 Downloads 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

  1. Testing constancy of the error covariance matrix in vector models
    Journal of Econometrics, 2007, 140, (2), 753-780 Downloads 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) Downloads View citations (1) (2006)

2006

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

  1. 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 Downloads 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) Downloads View citations (5) (2004)
  2. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783 Downloads

2004

  1. AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
    Econometric Theory, 2004, 20, (5), 904-926 Downloads 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

  1. 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) Downloads View citations (1) (2004)
  2. The net barter terms of trade: A smooth transition approach
    International Journal of Finance & Economics, 2003, 8, (1), 81-97 Downloads 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)
  3. Time-Varying Smooth Transition Autoregressive Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 104-21 View citations (108)
    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

  1. Evaluating GARCH models
    Journal of Econometrics, 2002, 110, (2), 417-435 Downloads View citations (100)
    See also Working Paper Evaluating GARCH models, SSE/EFI Working Paper Series in Economics and Finance (2001) View citations (2) (2001)
  2. Long memory and nonlinear time series
    Journal of Econometrics, 2002, 110, (2), 105-112 Downloads View citations (13)
  3. MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
    Macroeconomic Dynamics, 2002, 6, (2), 202-241 Downloads 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)
  4. MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
    Econometric Theory, 2002, 18, (4), 868-885 Downloads View citations (57)
  5. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
    Econometric Reviews, 2002, 21, (1), 1-47 Downloads View citations (523)
    See also Working Paper Smooth Transition Autoregressive Models - A Survey of Recent Developments, SSE/EFI Working Paper Series in Economics and Finance (2001) Downloads View citations (69) (2001)

2001

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

1999

  1. A simple nonlinear time series model with misleading linear properties
    Economics Letters, 1999, 62, (2), 161-165 Downloads 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)
  2. Another Look at Swedish Business Cycles, 1861-1988
    Journal of Applied Econometrics, 1999, 14, (4), 359-78 Downloads View citations (52)
    See also Working Paper Another Look at Swedish Business Cycles, 1861-1988, SSE/EFI Working Paper Series in Economics and Finance (1996) Downloads (1996)
  3. FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
    Econometric Theory, 1999, 15, (6), 824-846 Downloads 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)
  4. Investigating Stability and Linearity of a German M1 Money Demand Function
    Journal of Applied Econometrics, 1999, 14, (5), 511-25 Downloads 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)
  5. Properties of moments of a family of GARCH processes
    Journal of Econometrics, 1999, 92, (1), 173-192 Downloads 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)
  6. 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 Downloads 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)
  7. Testing parameter constancy in linear models against stochastic stationary parameters
    Journal of Econometrics, 1999, 90, (2), 193-213 Downloads View citations (5)
    See also Working Paper Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters, SFB 373 Discussion Papers (1995) (1995)

1998

  1. 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 Downloads
  2. Modeling The Demand For M3 In The Unified Germany
    The Review of Economics and Statistics, 1998, 80, (3), 399-409 Downloads 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)
  3. Stylized facts of daily return series and the hidden Markov model
    Journal of Applied Econometrics, 1998, 13, (3), 217-244 Downloads 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

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

1996

  1. Power Properties of Linearity Tests for Time Series
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (1), 10 Downloads 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)
  2. 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 Downloads View citations (10)
  3. Testing Parameter Constancy and Super Exogeneity in Econometric Equations
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 735-63 View citations (142)
    See also Working Paper Testing Parameter Constancy and super Exogeneity in Econometric Equations, SSE/EFI Working Paper Series in Economics and Finance (1995) (1995)
  4. Testing the adequacy of smooth transition autoregressive models
    Journal of Econometrics, 1996, 74, (1), 59-75 Downloads View citations (460)
    See also Working Paper Testing the Adequacy of Smooth Transition Autoregressive Models, SSE/EFI Working Paper Series in Economics and Finance (1995) (1995)

1995

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

1994

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

1993

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

1992

  1. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 Downloads View citations (597)

1990

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

1988

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

1987

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

1985

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

1982

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

1980

  1. 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

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

Books

2010

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

1993

  1. Modelling Non-Linear Economic Relationships
    OUP Catalogue, Oxford University Press View citations (449)

Edited books

2006

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

2000

  1. 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 Downloads
  2. Unit roots, non-linearities and structural breaks
    Chapter 4 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 61-94 Downloads View citations (1)
    See also Working Paper Unit roots, nonlinearities and structural breaks, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (3) (2012)

2006

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

1993

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

1986

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