Timo Teräsvirta

Timo Teräsvirta is Professor Emeritus at Aarhus University and member of CREATES. He received his DPolSc (Econometrics) from the University of Helsinki 1970. He has been professor of statistics at the University of Helsinki, 1976-1980, research fellow at the Research Institute of the Finnish Economy, 1980-1989, research fellow at Norges Bank, 1992-1993, 1994, 2000, professor of econometrics at the Stockholm School of Economics, 1994-2006, and distinguished senior fellow at Hanken School of Economics, Helsinki, 2001-2013. He is adjoint professor, Queensland University of Technology, Brisbane, 2013-2016. Teräsvirta is elected member of the International Statistical Institute (since 1978), Societas Scientiarum Fennica, Helsinki (since 1978), and the Royal Academy of Sciences, Stockholm (since 2001). He is distinguished author of Journal of Applied Econometrics and Fellow of Journal of Econometrics. His research and teaching interests include nonlinear time series econometrics and modelling volatility.

Sort by: Date | Author | Title

Hall, A. D., Silvennoinen, A. & Teräsvirta, T. (2023). Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks. Econometrics, 11(1), Article 5. https://doi.org/10.3390/econometrics11010005

Kang, J., Jakobsen, J. S., Silvennoinen, A., Teräsvirta, T. & Wade, G. (2022). A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. Aarhus Universitet. CREATES Research Paper No. 2022-01

Kang, J., Jakobsen, J. S., Silvennoinen, A., Teräsvirta, T. & Wade, G. (2022). A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. Econometrics, 10(3), Article 30. https://doi.org/10.3390/econometrics10030030

Seong, D., Cho, J. S. & Teräsvirta, T. (2022). Comprehensively testing linearity hypothesis using the smooth transition autoregressive model. Econometric Reviews, 41(8), 966-984. https://doi.org/10.1080/07474938.2022.2091713

Hurn, S., Johnson, N., Silvennoinen, A. & Teräsvirta, T. (2022). Transition from the Taylor rule to the zero lower bound. Studies in Nonlinear Dynamics & Econometrics, 26(5), 635-647. https://doi.org/10.1515/snde-2019-0102

He, C., Kang, J., Teräsvirta, T. & Zhang, S. (2021). Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. Energy Economics, 97, Article 105171. https://doi.org/10.1016/j.eneco.2021.105171

Hall, A. D., Silvennoinen, A. & Teräsvirta, T. (2021). Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper No. 2021-13

Holt, M. T. & Terasvirta, T. (2020). Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. Journal of Econometrics, 214(1), 198-215. https://doi.org/10.1016/j.jeconom.2019.05.011

He, C., Kang, J., Teräsvirta, T. & Zhang, S. (2019). Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (pp. 1-34). Institut for Økonomi, Aarhus Universitet. CREATES Research Paper No. 2019-19

Seong, D., Cho, J. S. & Teräsvirta, T. (2019). Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model. (pp. 1-44). Institut for Økonomi, Aarhus Universitet. CREATES Research Paper No. 2019-17

Displaying results 1 to 10 out of 93

Revised 13.11.2023

Solveig Nygaard Sørensen

Department of Economics and Business Economics

CREATES

Timo Teräsvirta

Timo Terasvirta