All Stories

  1. Stability in Self-exciting Threshold Autoregressive Models

    Article • January 2026, Elsevier

    Prof Timo Teräsvirta

  2. The Effect of the North Atlantic Oscillation on Monthly Precipitation in Selected European Locations: A Non‐Linear Time Series Approach

    Article • Environmetrics, February 2025, Wiley

    Prof Timo Teräsvirta

  3. Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model

    Article • Econometrics and Statistics, October 2024, Elsevier

    Prof Timo Teräsvirta

  4. Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model

    Article • Journal of Econometrics, February 2024, Elsevier

    Prof Timo Teräsvirta

  5. Long monthly European temperature series and the North Atlantic Oscillation

    Article • Energy Economics, October 2023, Elsevier

    Prof Timo Teräsvirta

  6. Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks

    Article • Econometrics, February 2023, MDPI AG

    Prof Timo Teräsvirta

  7. A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model

    Article • Econometrics, August 2022, MDPI AG

    Prof Timo Teräsvirta

  8. Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

    Article • Econometric Reviews, July 2022, Taylor & Francis

    Professor Jin Seo Cho, Prof Timo Teräsvirta

  9. Transition from the Taylor rule to the zero lower bound

    Article • Studies in Nonlinear Dynamics & Econometrics, October 2021, De Gruyter

    Prof Timo Teräsvirta

  10. Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

    Article • Energy Economics, May 2021, Elsevier

    Prof Timo Teräsvirta, Professor shu hua zhang

  11. Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis

    Article • Journal of Econometrics, January 2020, Elsevier

    Prof Timo Teräsvirta

  12. The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016

    Article • Econometrics and Statistics, October 2019, Elsevier

    Prof Timo Teräsvirta, Professor shu hua zhang

  13. Nonlinear Models in Macroeconometrics

    Article • June 2018, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  14. A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

    Article • Econometric Reviews, May 2017, Taylor & Francis

    Prof Timo Teräsvirta

  15. Terms-of-trade shocks and macroeconomic volatility in developing countries: panel smooth transition regression models

    Article • Journal of International Trade & Economic Development, January 2017, Taylor & Francis

    Prof Timo Teräsvirta

  16. testing volatility models

    Article • Studies in Nonlinear Dynamics & Econometrics, January 2016, De Gruyter

    Prof Timo Teräsvirta

  17. Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques

    Article • Econometric Reviews, November 2015, Taylor & Francis

    Prof Timo Teräsvirta

  18. A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market

    Article • Journal of Applied Econometrics, March 2015, Wiley

    Prof Timo Teräsvirta

  19. GARCH models with time-varying parameters

    Article • Econometric Reviews, October 2014, Taylor & Francis

    Prof Timo Teräsvirta

  20. Changes in Conditional Correlations of Asset Returns

    Article • Econometric Reviews, October 2014, Taylor & Francis

    Prof Timo Teräsvirta

  21. Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009

    Article • International Journal of Forecasting, July 2014, Elsevier

    Prof Timo Teräsvirta

  22. Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations

    Article • Journal of Business and Economic Statistics, January 2014, Taylor & Francis

    Prof Timo Teräsvirta

  23. Modelling changes in the unconditional variance of long stock return series

    Article • Journal of Empirical Finance, January 2014, Elsevier

    Prof Timo Teräsvirta

  24. Thresholds and Smooth Transitions in Vector Autoregressive Models

    Article • December 2013, Emerald

    Prof Timo Teräsvirta

  25. Modelling volatility by variance decomposition

    Article • Journal of Econometrics, August 2013, Elsevier

    Prof Timo Teräsvirta

  26. Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

    Article • Communications in Statistics - Simulation and Computation, May 2013, Taylor & Francis

    Prof Timo Teräsvirta

  27. Forecasting With Nonlinear Time Series Models

    Article • September 2012, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  28. Nonlinear Models for Autoregressive Conditional Heteroskedasticity

    Article • March 2012, Wiley

    Prof Timo Teräsvirta

  29. Modelling Nonlinear Economic Time Series

    Article • December 2010, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  30. Stylized facts of return series, robust estimates and three popular models of volatility

    Article • Applied Financial Economics, December 2010, Taylor & Francis

    Prof Timo Teräsvirta

  31. Sir Clive William John Granger, 1934–2009

    Article • New Zealand Economic Papers, August 2010, Taylor & Francis

    Prof Timo Teräsvirta

  32. Garch Models

    Article • May 2010, Wiley

    Prof Timo Teräsvirta

  33. Working With Clive Granger: Two Short Memories

    Article • Journal of Financial Econometrics, March 2010, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  34. Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

    Article • Journal of Financial Econometrics, September 2009, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  35. Testing for volatility interactions in the Constant Conditional Correlation GARCH model

    Article • Econometrics Journal, March 2009, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  36. Multivariate GARCH Models

    Article • January 2009, Springer Science + Business Media

    Prof Timo Teräsvirta

  37. An Introduction to Univariate GARCH Models

    Article • January 2009, Springer Science + Business Media

    Prof Timo Teräsvirta

  38. Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

    Article • Econometric Reviews, November 2008, Taylor & Francis

    Prof Timo Teräsvirta

  39. Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

    Article • Finance Research Letters, June 2008, Elsevier

    Prof Timo Teräsvirta

  40. Modelling Autoregressive Processes with a Shifting Mean

    Article • Studies in Nonlinear Dynamics & Econometrics, January 2008, De Gruyter

    Prof Timo Teräsvirta

  41. Parameterizing Unconditional Skewness in Models for Financial Time Series

    Article • Journal of Financial Econometrics, December 2007, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  42. Testing constancy of the error covariance matrix in vector models

    Article • Journal of Econometrics, October 2007, Elsevier

    Prof Timo Teräsvirta

  43. Simulation-based Finite Sample Linearity Test against Smooth Transition Models*

    Article • Oxford Bulletin of Economics and Statistics, November 2006, Wiley

    Prof Timo Teräsvirta

  44. A sequential procedure for determining the number of regimes in a threshold autoregressive model

    Article • Econometrics Journal, October 2006, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  45. Common factors in conditional distributions for bivariate time series

    Article • Journal of Econometrics, May 2006, Elsevier

    Prof Timo Teräsvirta

  46. A time series model for an exchange rate in a target zone with applications

    Article • Journal of Econometrics, March 2006, Elsevier

    Prof Timo Teräsvirta

  47. Chapter 8 Forecasting economic variables with nonlinear models

    Article • January 2006, Elsevier

    Prof Timo Teräsvirta

  48. Evaluating Models of Autoregressive Conditional Duration

    Article • Journal of Business and Economic Statistics, January 2006, Taylor & Francis

    Prof Timo Teräsvirta

  49. Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination

    Article • International Journal of Forecasting, October 2005, Elsevier

    Prof Timo Teräsvirta

  50. Reply

    Article • International Journal of Forecasting, October 2005, Elsevier

    Prof Timo Teräsvirta

  51. Building neural network models for time series: a statistical approach

    Article • Journal of Forecasting, January 2005, Wiley

    Prof Timo Teräsvirta

  52. AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE

    Article • Econometric Theory, October 2004, Cambridge University Press

    Prof Timo Teräsvirta

  53. Smooth Transition Regression Modeling

    Article • August 2004, Cambridge University Press

    Prof Timo Teräsvirta

  54. The net barter terms of trade: A smooth transition approach

    Article • International Journal of Finance & Economics, January 2003, Wiley

    Prof Timo Teräsvirta

  55. Time-Varying Smooth Transition Autoregressive Models

    Article • Journal of Business and Economic Statistics, January 2003, Taylor & Francis

    Prof Timo Teräsvirta

  56. Evaluating GARCH models

    Article • Journal of Econometrics, October 2002, Elsevier

    Prof Timo Teräsvirta

  57. Long memory and nonlinear time series

    Article • Journal of Econometrics, October 2002, Elsevier

    Prof Timo Teräsvirta

  58. MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS

    Article • Econometric Theory, May 2002, Cambridge University Press

    Prof Timo Teräsvirta

  59. MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES

    Article • Macroeconomic Dynamics, April 2002, Cambridge University Press

    Prof Timo Teräsvirta

  60. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

    Article • Econometric Reviews, January 2002, Taylor & Francis

    Prof Timo Teräsvirta

  61. Non-linear error correction and the UK demand for broad money, 1878-1993

    Article • Journal of Applied Econometrics, May 2001, Wiley

    Prof Timo Teräsvirta

  62. A nonlinear time series model of El Niño

    Article • Environmental Modelling & Software, March 2001, Elsevier

    Prof Timo Teräsvirta

  63. Properties of moments of a family of GARCH processes

    Article • Journal of Econometrics, September 1999, Elsevier

    Prof Timo Teräsvirta

  64. Testing parameter constancy in linear models against stochastic stationary parameters

    Article • Journal of Econometrics, June 1999, Elsevier

    Prof Timo Teräsvirta

  65. Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990–1993

    Article • International Journal of Forecasting, September 1996, Elsevier

    Prof Timo Teräsvirta

  66. Testing the adequacy of smooth transition autoregressive models

    Article • Journal of Econometrics, September 1996, Elsevier

    Prof Timo Teräsvirta

  67. Power Properties of Linearity Tests for Time Series

    Article • Studies in Nonlinear Dynamics & Econometrics, January 1996, De Gruyter

    Prof Timo Teräsvirta

  68. Modelling nonlinearity in U.S. Gross national product 1889?1987

    Article • Empirical Economics, December 1995, Springer Science + Business Media

    Prof Timo Teräsvirta

  69. Testing the constancy of regression parameters against continuous structural change

    Article • Journal of Econometrics, June 1994, Elsevier

    Prof Timo Teräsvirta

  70. The combination of forecasts using changing weights

    Article • International Journal of Forecasting, June 1994, Elsevier

    Prof Timo Teräsvirta

  71. Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

    Article • Journal of the American Statistical Association, March 1994, JSTOR

    Prof Timo Teräsvirta

  72. Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

    Article • Journal of the American Statistical Association, March 1994, Taylor & Francis

    Prof Timo Teräsvirta

  73. Chapter 48 Aspects of modelling nonlinear time series

    Article • January 1994, Elsevier

    Prof Timo Teräsvirta

  74. Use of preliminary values in forecasting industrial production

    Article • International Journal of Forecasting, December 1990, Elsevier

    Prof Timo Teräsvirta

  75. Testing Linearity Against Smooth Transition Autoregressive Models

    Article • Biometrika, September 1988, JSTOR

    Prof Timo Teräsvirta

  76. Superiority comparisons between mixed regression estimators

    Article • Communication in Statistics- Theory and Methods, January 1988, Taylor & Francis

    Prof Timo Teräsvirta

  77. Testing linearity against smooth transition autoregressive models

    Article • Biometrika, January 1988, Oxford University Press (OUP)

    Prof Timo Teräsvirta

  78. Usefulness of proxy variables in linear models with stochastic regressors

    Article • Journal of Econometrics, November 1987, Elsevier

    Prof Timo Teräsvirta

  79. The extended Stein procedure for simultaneous model selection and parameter estimation

    Article • Journal of Econometrics, July 1987, Elsevier

    Prof Timo Teräsvirta

  80. Superiority comparisons of heterogeneous linear estimators

    Article • Communication in Statistics- Theory and Methods, January 1986, Taylor & Francis

    Prof Timo Teräsvirta

  81. MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS

    Article • Journal of Time Series Analysis, May 1985, Wiley

    Prof Timo Teräsvirta

  82. Underestimation of mean square error matrix in misspecified linear models

    Article • Journal of Econometrics, February 1982, Elsevier

    Prof Timo Teräsvirta

  83. A comparison of mixed and minimax estimators of linear models

    Article • Communication in Statistics- Theory and Methods, January 1981, Taylor & Francis

    Prof Timo Teräsvirta

  84. The polynomial distributed lag revisited

    Article • Empirical Economics, December 1980, Springer Science + Business Media

    Prof Timo Teräsvirta

  85. Forecasting the consumption of alcoholic beverages in Finland

    Article • European Economic Review, December 1976, Elsevier

    Prof Timo Teräsvirta

  86. Forecasting with Smooth Transition Autoregressive Models

    Article • Wiley

    Prof Timo Teräsvirta