Access Statistics for Timo Teräsvirta

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A General Framework for Testing the Granger Noncausality Hypothesis 0 0 0 0 3 5 14 312
A Simple variable selection technique for nonlinear models 0 0 0 0 11 18 85 320
A Time Series Model for an Exchange Rate in a Target Zone with Applications 2 6 39 274 10 23 111 673
A general framework for testing the Granger noncausality hypothesis 1 3 13 225 2 4 24 755
A nonlinear time series model of El Niño 0 0 0 27 6 13 57 876
A simple nonlinear time series model with misleading linear properties 0 0 0 20 5 25 83 963
A simple variable selection technique for nonlinear models 0 0 0 59 21 45 140 1,472
A time series model for an exchange rate in a target zone with applications 0 0 0 225 4 8 56 670
An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure 0 0 0 161 5 19 97 964
An application of the analogy between vector ARCH and vector random coefficient autoregressive models 1 1 8 242 8 16 45 556
An introduction to univariate GARCH models 30 86 462 1,407 65 178 852 2,309
Another Look at Swedish Business Cycles, 1861-1988 1 4 14 280 5 12 36 1,093
Another Look at Swedish Business Cycles, 1861-1988 0 0 0 32 0 1 3 295
Building Neural Network Models for Time Series: A Statistical Approach 10 23 110 841 26 62 262 1,829
Building neural network models for time series: A statistical approach 17 29 205 2,372 50 96 588 5,358
Common Factors in Conditional Distributions 3 4 14 256 5 9 37 612
Common factors in conditional distributions 0 0 0 223 1 12 53 975
Common factors in conditional distributions for Bivariate time series 2 6 15 174 7 15 37 393
Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions 5 18 91 554 11 34 173 996
Error correction in DHSY 0 3 15 180 2 7 44 472
Evaluating GARCH Models 4 9 67 677 7 17 105 1,084
Evaluating GARCH models 0 0 0 324 3 11 52 1,867
Evaluating models of autoregressive conditional duration 4 15 55 625 13 35 110 1,241
Forecasting economic variables with nonlinear models 7 32 118 616 17 67 252 1,189
Forecasting inflation with gradual regime shifts and exogenous information 15 41 152 152 30 84 214 214
Forecasting with smooth transition autoregressive models 0 0 0 62 8 15 69 1,241
Fourth Moment Structure of a Family of First-Order Exponential GARCH Models 0 0 0 0 2 6 29 154
Fourth Moment Structure of a Family of First-Order Exponential GARCH Models 0 0 0 49 3 7 43 821
Fourth Moment Structure of the GARCH (p, q) Process 0 0 0 81 4 9 48 1,166
Generalizing Threshold Autoregressive Models 0 0 0 0 0 3 12 271
Higher-order dependence in the general Power ARCH process and a special case 3 4 13 202 5 12 46 875
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 99 2 6 21 411
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 4 22 89 1,325
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination 6 20 67 562 6 23 104 1,023
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 240 9 24 109 1,119
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure 2 3 21 36 3 8 48 61
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure 3 8 33 95 17 37 136 247
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure 2 11 38 89 4 18 69 139
Modelling Economic High-Frequency Time Series 1 6 23 243 1 10 42 652
Modelling Economic Relationships with Smooth Transition Regressions 0 0 0 9 22 59 269 1,576
Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model 5 14 44 60 10 25 103 137
Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model 9 32 98 292 22 86 264 751
Modelling Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models 0 0 0 3 1 4 31 268
Modelling asymmetries and moving equilibria in unemployment rates 0 0 0 77 3 6 46 1,140
Modelling autoregressive processes with a shifting mean 3 7 22 44 4 10 34 79
Modelling autoregressive processes with a shifting mean 4 8 23 48 4 12 38 103
Modelling autoregressive processes with a shifting mean 0 0 0 89 10 23 70 354
Modelling economic high-frequency time series with STAR-STGARCH models 8 20 89 822 13 33 178 2,393
Modelling the Demand for M3 in the Unified Germany 0 0 0 66 0 2 13 309
Modelling the Demand for M3 in the unified Germany 0 0 0 0 2 8 30 905
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations 4 13 48 357 7 23 102 801
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations 0 3 21 159 4 11 48 347
Multivariate GARCH models 12 24 104 323 19 48 231 474
Multivariate GARCH models 15 26 100 141 28 65 222 259
Nonlinear error-correction and the UK demand for broad money, 1878-1993 0 0 0 74 1 4 21 986
Panel Smooth Transition Regression Models 7 13 63 338 16 27 152 680
Panel Smooth Transition Regression Models 14 39 157 629 28 88 378 1,392
Parameterizing Unconditional Skewness in Models for Financial Time Series 1 4 28 180 7 16 92 441
Parameterizing unconditional skewness in models for financial time series 3 6 19 35 4 7 39 69
Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models 0 0 0 42 6 11 38 149
Power Properties of Linearity Tests for Time Series 0 0 0 1 0 4 15 135
Power Properties of Linearity Tests for Time Series 0 0 0 0 1 7 31 777
Power of the Neural Network Linearity Test 0 0 0 4 6 11 51 459
Properties of Moments of a Family of GARCH Processes 0 0 0 203 6 15 94 1,148
Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints 0 0 0 17 10 20 113 1,672
Simulation-based finite-sample linearity test against smooth transition models 0 0 0 121 7 14 103 586
Smooth Transition Autoregressive Models - A Survey of Recent Developments 18 53 266 1,215 23 70 407 2,132
Smooth Transition Models 0 0 0 3 1 2 46 1,192
Smooth transition autoregressive models - A survey of recent developments 5 15 15 15 7 17 17 17
Smooth transition autoregressive models - A survey of recent developments 16 52 316 1,908 25 72 465 2,797
Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models 0 0 0 3 22 47 170 878
Statistical Properties of the Asymmetric Power ARCH Process 0 0 0 62 6 17 61 1,172
Statistical methods for modelling neural networks 8 18 50 684 28 62 170 1,531
Stylized Facts of Daily Return Series and the Hidden Markov Model 0 0 0 0 9 20 125 1,404
Stylized Facts of Financial Time Series and Three Popular Models of Volatility 6 30 110 790 23 83 285 1,628
Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility 4 6 42 142 10 15 78 255
THE NET BARTER TERMS OF TRADE: A SMOOTH TRANSITION APPROACH 0 0 0 87 34 77 315 1,710
Testing Linearity against Nonlinear Moving Average Models 0 0 0 21 2 10 51 1,634
Testing Linearity against Nonlinear Moving Average Models 0 0 0 20 8 12 42 1,130
Testing Parameter Constancy and super Exogeneity in Econometric Equations 0 0 0 1 2 12 79 850
Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters 0 0 0 0 1 5 36 671
Testing constancy of the error covariance matrix in vector models 3 11 23 174 16 45 145 928
Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model 8 18 63 236 19 40 157 621
Testing parameter constancy in stationary vector autoregressive models against continuous change 0 0 8 366 6 30 120 1,276
Testing the Adequacy of Smooth Transition Autoregressive Models 0 0 0 0 7 17 71 1,108
Testing the Constancy of Regression Parameters Against Continuous Structural Change 0 0 0 3 7 19 63 303
Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form 2 7 34 94 10 19 86 183
Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form 3 4 15 31 5 8 27 40
The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series 0 0 0 0 0 0 0 0
The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series 2 5 12 159 13 29 90 952
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 2 4 10 164 6 11 38 836
Time-Varying Smooth Transition Autoregressive Models 0 0 0 175 13 25 117 1,638
Two Stylized Facts and the Garch (1,1) Model 0 0 0 0 2 6 45 1,203
Univariate nonlinear time series models 0 0 0 271 10 32 102 860
Total Working Papers 281 764 3,353 22,524 941 2,457 10,609 84,332

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Bias in the Almon Distributed Lag Estimator 0 0 7 89 1 2 18 283
A simple nonlinear time series model with misleading linear properties 2 4 13 160 5 9 28 272
A time series model for an exchange rate in a target zone with applications 2 4 10 26 2 4 20 66
Another Look at Swedish Business Cycles, 1861-1988 3 5 10 105 7 9 21 336
Building neural network models for time series: a statistical approach 4 9 55 390 9 22 126 853
Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models 7 13 61 373 11 23 107 777
Comment on N. R. Ericsson, D. F. Hendry and K. M. Prestwich, "The Demand for Broad Money in the United Kingdom, 1878-1993." 0 0 1 24 0 0 3 79
Common factors in conditional distributions for bivariate time series 2 5 11 53 4 11 21 123
Evaluating GARCH models 2 4 24 219 3 6 37 414
Evaluating Models of Autoregressive Conditional Duration 2 3 14 62 5 8 30 125
Forecasting the consumption of alcoholic beverages in Finland: A box-Jenkins approach 0 1 5 10 1 2 9 41
Formation of Firms' Production Decisions in Finnish Manufacturing Industries 0 0 0 8 0 0 3 122
Investigating Stability and Linearity of a German M1 Money Demand Function 1 8 30 213 3 13 57 653
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 1 7 26 203 4 13 47 394
Long memory and nonlinear time series 0 0 8 48 0 1 13 113
Modeling The Demand For M3 In The Unified Germany 0 1 8 76 2 4 20 260
Modelling Autoregressive Processes with a Shifting Mean 0 5 8 8 1 8 14 14
Modelling Nonlinearity in U.S. Gross National Product 1889-1987 0 0 0 0 1 4 25 1,178
Modelling the Dynamic Relationship between Wages and Prices in Finland 0 0 0 0 2 2 10 136
Non-linear error correction and the UK demand for broad money, 1878-1993 1 4 17 206 1 5 21 484
Parameterizing Unconditional Skewness in Models for Financial Time Series 0 1 2 2 3 6 10 10
Positivity constraints on the conditional variances in the family of conditional correlation GARCH models 1 3 14 17 2 4 20 29
Power Properties of Linearity Tests for Time Series 0 6 12 136 0 6 15 285
Professor Clive W.J. Granger: An interview for the International Journal of Forecasting 0 0 9 44 0 0 12 72
Properties of moments of a family of GARCH processes 4 6 31 99 5 10 47 196
Reply 2 2 4 14 2 3 10 41
SMOOTH TRANSITION AUTOREGRESSIVE MODELS - A SURVEY OF RECENT DEVELOPMENTS 28 91 391 944 49 156 653 1,562
Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993 1 2 4 18 1 2 10 50
Simulation-based Finite Sample Linearity Test against Smooth Transition Models 0 2 20 58 0 5 40 135
Stylized facts of daily return series and the hidden Markov model 3 8 37 326 6 13 81 744
Testing Linearity of Economic Time Series against Cyclical Asymmetry 1 6 10 10 2 7 13 13
Testing Parameter Constancy and Super Exogeneity in Econometric Equations 0 0 0 1 2 8 30 274
Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change 4 18 29 29 15 44 92 92
Testing constancy of the error covariance matrix in vector models 1 2 4 11 1 5 17 54
Testing for volatility interactions in the Constant Conditional Correlation GARCH model 4 12 33 33 8 33 84 84
Testing parameter constancy in linear models against stochastic stationary parameters 0 0 5 15 1 2 12 41
Testing the adequacy of smooth transition autoregressive models 10 17 58 326 14 23 85 538
Testing the constancy of regression parameters against continuous structural change 3 9 31 184 4 13 59 446
The International Institute of Forecasters Award for the Best Forecasting Paper 0 0 1 7 0 1 3 45
The Polynomial Distributed Lag Revisited 0 0 0 0 0 0 12 341
The combination of forecasts using changing weights 5 17 39 214 12 33 95 386
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 4 69 3 3 52 357
The extended Stein procedure for simultaneous model selection and parameter estimation 1 1 2 7 1 1 10 25
The net barter terms of trade: A smooth transition approach 2 10 55 198 10 38 271 971
Time-Varying Smooth Transition Autoregressive Models 0 0 0 8 18 30 180 1,149
Underestimation of mean square error matrix in misspecified linear models 0 0 0 3 0 3 9 21
Use of preliminary values in forecasting industrial production 0 0 1 11 0 3 11 49
Usefulness of proxy variables in linear models with stochastic regressors 0 0 3 12 0 1 9 34
Total Journal Articles 97 286 1,107 5,069 221 599 2,572 14,767

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Aspects of modelling nonlinear time series 2 7 32 137 6 17 83 314
Forecasting economic variables with nonlinear models 11 28 97 141 37 78 318 474
Total Chapters 13 35 129 278 43 95 401 788

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Statistics updated 2009-11-04