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 0 1 7 428
A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model 0 0 0 78 0 1 4 168
A Review of PC-GIVE: A Statistical Package for Econometric Modelling 0 0 0 3 0 0 0 7
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 0 1 50 1 1 20 144
A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market 0 1 2 91 0 2 11 120
A Time Series Model for an Exchange Rate in a Target Zone with Applications 0 0 0 319 0 1 6 869
A general framework for testing the Granger noncausality hypothesis 0 0 0 258 1 5 11 882
A nonlinear time series model of El Niño 0 0 0 27 1 1 9 1,052
A simple nonlinear time series model with misleading linear properties 0 0 0 20 1 4 16 1,176
A simple variable selection technique for nonlinear models 0 0 0 7 0 0 2 444
A simple variable selection technique for nonlinear models 0 0 0 59 0 0 1 1,798
A time series model for an exchange rate in a target zone with applications 0 0 0 225 1 2 5 793
An Extended Constant Conditional Correlation GARCH Model and Its Fourth-Moment Structure 0 0 0 161 0 0 4 1,215
An application of the analogy between vector ARCH and vector random coefficient autoregressive models 0 0 0 273 0 0 6 693
An introduction to univariate GARCH models 1 2 15 2,373 6 13 56 4,482
Another Look at Swedish Business Cycles, 1861-1988 0 0 0 26 1 1 2 303
Another Look at Swedish Business Cycles, 1861-1988 0 1 1 342 0 1 6 1,258
Building Neural Network Models for Time Series: A Statistical Approach 0 0 0 1,097 0 0 2 2,596
Building neural network models for time series: A statistical approach 0 0 0 2,760 0 1 11 6,805
Common Factors in Conditional Distributions 0 0 0 3 1 1 4 37
Common factors in conditional distributions 0 0 0 223 0 1 3 1,068
Common factors in conditional distributions for Bivariate time series 0 1 6 235 1 3 9 591
Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations 1 1 1 59 1 1 2 148
Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations 0 0 0 74 1 1 5 184
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model 0 0 7 26 0 0 24 76
Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions 0 0 3 711 0 4 10 1,363
Error correction in DHSY 0 0 1 210 0 1 5 591
Evaluating GARCH Models 0 0 1 807 0 0 5 1,351
Evaluating GARCH models 0 0 0 324 1 4 7 2,052
Evaluating models of autoregressive conditional duration 0 0 0 727 0 0 5 1,502
Financial sector and output dynamics in the euro area countries 0 0 0 4 1 1 3 20
Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques 1 2 5 332 2 3 18 570
Forecasting economic variables with nonlinear models 1 1 7 888 1 1 17 1,818
Forecasting inflation with gradual regime shifts and exogenous information 0 0 1 89 3 3 12 200
Forecasting inflation with gradual regime shifts and exogenous information 0 0 2 292 2 2 8 527
Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 0 1 3 149 1 2 8 224
Forecasting the Outputof Finnish Forest Industries Using Business Survey Data 0 0 0 1 1 1 3 7
Forecasting with nonlinear time series models 0 1 17 686 1 4 54 1,375
Forecasting with smooth transition autoregressive models 0 0 0 62 3 6 18 1,471
Fourth Moment Structure of a Family of First-Order Exponential GARCH Models 0 0 0 0 0 0 1 237
Fourth Moment Structure of a Family of First-Order Exponential GARCH Models 0 0 0 49 1 5 9 964
Fourth Moment Structure of the GARCH (p, q) Process 0 0 0 81 0 2 5 1,346
Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis 0 0 2 94 3 3 10 124
Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis 0 1 3 62 0 2 6 34
Higher-order dependence in the general Power ARCH process and a special case 0 0 0 231 0 2 3 971
How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production? 0 0 0 1 2 2 2 10
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 69 0 2 5 382
Investigating Stability and Linearity of a German M1 Money Demand Function 0 0 0 62 2 5 13 1,644
Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis 0 0 0 2 0 0 1 12
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination 0 0 1 757 0 0 9 1,440
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 240 2 4 11 1,465
Linearity and Misspecification Tests for Vector Smooth Transition Regression Models 1 1 4 318 3 4 19 283
Linearity and misspecification tests for vector smooth transition regression models 0 0 4 24 0 2 14 56
Modelling Changes in the Unconditional Variance of Long Stock Return Series 1 1 2 106 1 5 10 239
Modelling Changes in the Unconditional Variance of Long Stock Return Series 0 0 1 93 1 10 13 237
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure 0 0 1 70 0 2 5 194
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure 0 0 0 163 1 3 7 331
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure 0 1 4 200 2 4 23 704
Modelling Economic High-Frequency Time Series 0 0 0 295 0 0 2 757
Modelling Economic Relationships with Smooth Transition Regressions 0 0 0 9 10 43 207 4,107
Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model 0 0 0 188 0 1 5 394
Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model 0 0 0 304 2 4 15 1,180
Modelling Volatility by Variance Decomposition 1 1 1 105 1 1 9 197
Modelling Volatility by Variance Decomposition 0 0 1 177 1 1 4 421
Modelling and forecasting WIG20 daily returns 1 1 1 31 1 2 10 64
Modelling and forecasting WIG20 daily returns 0 0 1 12 0 0 8 38
Modelling asymmetries and moving equilibria in unemployment rates 0 0 0 77 1 3 20 1,337
Modelling autoregressive processes with a shifting mean 0 0 0 89 0 0 3 552
Modelling autoregressive processes with a shifting mean 0 0 1 94 1 1 4 230
Modelling autoregressive processes with a shifting mean 0 0 0 86 1 1 2 170
Modelling conditional correlations of asset returns: A smooth transition approach 1 1 1 264 1 1 1 530
Modelling economic high-frequency time series with STAR-STGARCH models 1 2 9 1,003 2 16 44 2,857
Modelling the Demand for M3 in the Unified Germany 0 0 0 53 0 0 1 320
Modelling the Demand for M3 in the unified Germany 0 0 0 0 3 4 4 1,042
Models with Multiplicative Decomposition of Conditional Variances and Correlations 0 2 12 14 1 9 38 49
Models with Multiplicative Decomposition of Conditional Variances and Correlations 2 4 12 36 4 7 35 49
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations 1 1 4 249 1 1 10 570
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations 0 0 0 424 2 2 9 1,025
Multivariate GARCH models 0 4 19 719 6 19 78 1,457
Multivariate GARCH models 0 2 5 439 2 6 19 1,057
Nonlinear error-correction and the UK demand for broad money, 1878-1993 0 0 0 74 0 1 1 1,092
Nonlinear models for autoregressive conditional heteroskedasticity 0 0 0 153 0 1 7 276
Nonlinear models in macroeconometrics 2 5 23 347 2 6 30 97
Panel Smooth Transition Regression Models 5 9 29 650 11 21 92 1,735
Panel Smooth Transition Regression Models 11 26 131 2,478 40 116 560 6,674
Panel Smooth Transition Regression Models 8 13 34 47 14 34 101 142
Parameterizing Unconditional Skewness in Models for Financial Time Series 0 0 0 230 1 2 3 624
Parameterizing unconditional skewness in models for financial time series 0 0 0 83 2 3 7 221
Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models 0 0 0 42 4 9 20 305
Power Properties of Linearity Tests for Time Series 0 0 0 0 0 1 3 909
Properties of Moments of a Family of GARCH Processes 0 0 0 203 0 1 8 1,381
Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints 0 0 0 17 0 1 3 2,093
Short-Term Forecasting of Industrial Production with Business Survey Data: Experience from Finland's Great Depression 0 0 0 2 1 1 5 22
Simulation-based finite-sample linearity test against smooth transition models 0 0 0 121 0 1 4 789
Sir Clive Granger's contributions to nonlinear time series and econometrics 0 0 1 222 0 0 3 67
Smooth Transition Autoregressive Models - A Survey of Recent Developments 0 0 6 1,778 1 4 26 3,268
Smooth Transition Models 0 0 0 3 0 2 9 1,483
Smooth transition autoregressive models - A survey of recent developments 1 5 13 414 2 8 33 721
Some results on improving the least squares estimation of linear models by mixed estimation 0 0 0 0 1 1 2 7
Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications 0 2 11 481 1 7 45 788
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications 1 2 12 51 2 7 25 108
Statistical Properties of the Asymmetric Power ARCH Process 0 0 0 62 3 5 18 1,341
Statistical methods for modelling neural networks 0 0 1 849 0 1 5 2,194
Stylized Facts of Daily Return Series and the Hidden Markov Model 0 0 0 0 1 3 23 1,803
Stylized Facts of Financial Time Series and Three Popular Models of Volatility 0 0 0 876 5 19 81 2,589
Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility 0 0 0 182 0 1 4 537
THE NET BARTER TERMS OF TRADE: A SMOOTH TRANSITION APPROACH 0 0 0 87 1 3 9 2,141
Testing Linearity against Nonlinear Moving Average Models 0 0 0 20 0 0 1 1,262
Testing Linearity against Nonlinear Moving Average Models 0 0 0 21 0 1 2 1,733
Testing Linearity of Economic Time Series against Cyclical A symmetry 0 0 0 6 0 0 0 18
Testing Parameter Constancy In Linear Models Against Stochastic Stationary Parameters 0 0 0 0 0 0 4 93
Testing Parameter Constancy and super Exogeneity in Econometric Equations 0 0 0 1 2 2 6 1,093
Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters 0 0 0 0 1 1 1 783
Testing constancy of the error covariance matrix in vector models 0 0 0 219 0 1 2 1,218
Testing constancy of unconditional variance in volatility models by misspecification and specification tests 0 0 0 23 2 3 5 18
Testing constancy of unconditional variance in volatility models by misspecification and specification tests 0 0 0 69 0 0 4 79
Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model 0 0 1 404 0 1 7 1,023
Testing parameter constancy in stationary vector autoregressive models against continuous change 0 0 0 365 1 1 4 1,607
Testing the Adequacy of Smooth Transition Autoregressive Models 0 0 0 0 0 3 8 1,423
Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form 0 0 0 0 0 1 4 7
Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form 0 2 4 110 1 3 8 217
Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form 0 0 0 177 0 2 11 485
The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016 0 0 25 26 2 3 19 25
The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series 1 1 1 11 3 4 15 80
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 0 201 0 0 2 957
The polynomial distributed lag revisited 0 0 0 3 1 1 1 10
Thresholds and Smooth Transitions in Vector Autoregressive Models 2 5 32 805 7 16 88 1,476
Time-Varying Smooth Transition Autoregressive Models 0 0 0 175 3 8 18 2,080
Transition from the Taylor rule to the zero lower bound 2 8 12 12 7 15 21 21
Two Stylized Facts and the Garch (1,1) Model 0 0 0 0 1 10 33 1,593
Unit roots, nonlinearities and structural breaks 0 0 3 286 2 4 15 461
Univariate nonlinear time series models 0 0 0 271 0 3 33 1,160
Total Working Papers 46 111 501 34,018 215 594 2,532 121,813


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model 0 0 0 0 0 0 2 6
A Note on Bias in the Almon Distributed Lag Estimator 0 0 1 101 0 0 6 326
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market 1 1 4 13 1 1 18 57
A sequential procedure for determining the number of regimes in a threshold autoregressive model 0 0 0 63 4 5 11 258
A simple nonlinear time series model with misleading linear properties 0 1 4 244 1 2 17 481
A time series model for an exchange rate in a target zone with applications 0 2 8 110 0 4 11 287
Another Look at Swedish Business Cycles, 1861-1988 0 1 1 207 0 1 7 570
Building neural network models for time series: a statistical approach 0 0 1 520 1 2 9 1,126
Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models 1 5 24 870 7 18 85 1,794
Common factors in conditional distributions for bivariate time series 0 1 4 98 1 3 10 268
Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations 0 0 0 15 1 2 4 60
Evaluating GARCH models 0 1 1 273 1 4 9 558
Evaluating Models of Autoregressive Conditional Duration 0 0 1 106 0 0 6 235
Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques 0 0 0 5 1 3 7 22
Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009 0 1 3 21 1 4 10 66
Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques 0 0 0 35 2 3 5 89
Forecasting the consumption of alcoholic beverages in Finland: A box-Jenkins approach 0 0 1 25 1 1 5 98
Formation of Firms' Production Decisions in Finnish Manufacturing Industries 0 0 0 13 0 0 3 152
Investigating Stability and Linearity of a German M1 Money Demand Function 0 1 7 313 0 2 11 840
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 2 285 0 2 12 588
Long memory and nonlinear time series 0 0 0 77 0 0 4 187
MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS 0 0 0 0 0 0 3 3
Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach 0 0 2 35 1 2 7 77
Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model 0 0 1 146 1 3 12 360
Modeling The Demand For M3 In The Unified Germany 0 0 2 139 4 4 11 396
Modelling Autoregressive Processes with a Shifting Mean 0 0 1 99 0 1 4 209
Modelling Nonlinearity in U.S. Gross National Product 1889-1987 0 0 0 0 0 0 5 1,270
Modelling and Forecasting WIG20 Daily Returns 1 1 3 6 2 3 13 34
Modelling changes in the unconditional variance of long stock return series 0 0 1 37 0 1 7 117
Modelling volatility by variance decomposition 0 0 1 68 0 3 14 224
Non-linear error correction and the UK demand for broad money, 1878-1993 0 0 0 286 0 0 4 641
POWER OF THE NEURAL NETWORK LINEARITY TEST 0 0 0 0 0 0 4 4
Parameterizing Unconditional Skewness in Models for Financial Time Series 0 0 0 25 1 1 4 84
Positivity constraints on the conditional variances in the family of conditional correlation GARCH models 0 0 0 50 1 1 9 157
Power Properties of Linearity Tests for Time Series 0 0 1 168 0 0 5 371
Professor Clive W.J. Granger: An interview for the International Journal of Forecasting 0 0 0 58 0 0 3 109
Properties of moments of a family of GARCH processes 0 1 15 233 3 7 32 447
Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints 0 0 0 0 0 1 3 3
Reply 0 0 1 24 1 1 4 73
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 1 3 20 2,341 5 17 81 4,441
Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993 0 0 0 31 0 0 8 107
Simulation‐based Finite Sample Linearity Test against Smooth Transition Models* 0 0 0 114 2 2 6 303
Sir Clive William John Granger, 1934-2009 0 0 0 16 0 0 1 81
Specification and testing of multiplicative time-varying GARCH models with applications 0 0 1 13 0 1 9 40
Stylized facts of daily return series and the hidden Markov model 0 0 13 417 0 2 27 985
Stylized facts of return series, robust estimates and three popular models of volatility 0 0 0 60 0 0 1 146
Testing Parameter Constancy and Super Exogeneity in Econometric Equations 0 0 0 1 2 2 8 419
Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change 0 0 1 134 2 3 8 357
Testing constancy of the error covariance matrix in vector models 0 0 0 69 3 3 4 184
Testing constancy of unconditional variance in volatility models by misspecification and specification tests 1 1 2 10 3 4 12 33
Testing for volatility interactions in the Constant Conditional Correlation GARCH model 0 0 0 171 4 5 9 573
Testing parameter constancy in linear models against stochastic stationary parameters 0 0 0 36 1 2 7 103
Testing the adequacy of smooth transition autoregressive models 2 3 19 626 4 10 42 1,132
Testing the constancy of regression parameters against continuous structural change 1 2 2 371 6 8 17 842
The International Institute of Forecasters Award for the Best Forecasting Paper 0 0 0 13 0 0 4 66
The Polynomial Distributed Lag Revisited 0 0 0 0 0 0 5 372
The combination of forecasts using changing weights 0 1 1 355 2 3 15 709
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 0 84 4 4 7 449
The extended Stein procedure for simultaneous model selection and parameter estimation 0 1 2 34 1 5 14 116
The net barter terms of trade: A smooth transition approach 0 0 0 287 0 0 6 1,459
Time-Varying Smooth Transition Autoregressive Models 0 0 0 8 1 1 8 1,644
Underestimation of mean square error matrix in misspecified linear models 0 0 0 9 0 0 4 58
Use of preliminary values in forecasting industrial production 0 0 0 19 0 0 3 83
Usefulness of proxy variables in linear models with stochastic regressors 0 0 0 17 0 0 4 63
Working With Clive Granger: Two Short Memories 0 0 1 47 0 1 3 80
Total Journal Articles 8 27 152 10,051 76 158 709 27,492
2 registered items for which data could not be found


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Modelling Non-Linear Economic Relationships 0 0 0 0 52 201 824 6,506
Modelling Nonlinear Economic Time Series 0 0 0 0 7 27 304 1,370
Total Books 0 0 0 0 59 228 1,128 7,876


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 0 0 4 267 1 2 15 676
Forecasting economic variables with nonlinear models 0 0 8 463 0 1 29 1,601
Modeling Nonlinearity over the Business Cycle 0 1 4 142 0 2 13 297
Unit roots, non-linearities and structural breaks 0 0 0 16 1 3 15 54
Total Chapters 0 1 16 888 2 8 72 2,628


Statistics updated 2019-09-09