Publications - Timo Teräsvirta https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Bcontroller%5D=Publications&cHash=a829aa8cdbc31a816ae11300cd7977c9 en-us PURE Extension typo3support@science.au.dk (Web Department) 30 <![CDATA[A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b6064303-f494-4808-b046-2c338440cfe5&tx_pure_pure5%5BshowType%5D=pub&cHash=6b85dd98ca05186c414a0c716ada3727 Kang, J., Jakobsen, J. S., Silvennoinen, A., Teräsvirta, T., Wade, G. Research Thu, 01 Sep 2022 19:39:09 +0200 b6064303-f494-4808-b046-2c338440cfe5 <![CDATA[Comprehensively testing linearity hypothesis using the smooth transition autoregressive model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=16e53d10-a533-4348-9a76-4c764ae25afe&tx_pure_pure5%5BshowType%5D=pub&cHash=0076d626ff885f9464b671d056fa5d8d Seong, D., Cho, J. S., Teräsvirta, T. Research Fri, 01 Jul 2022 19:39:09 +0200 16e53d10-a533-4348-9a76-4c764ae25afe <![CDATA[Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d10304ed-e2bc-4684-b18a-139c3db2a296&tx_pure_pure5%5BshowType%5D=pub&cHash=315865f8af86c1d072dedfd9fd6c243e Hall, A. D., Silvennoinen, A., Teräsvirta, T. Research Tue, 28 Sep 2021 19:39:09 +0200 d10304ed-e2bc-4684-b18a-139c3db2a296 <![CDATA[Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ca21c82b-47f7-4a87-8d07-fecdd3add7ca&tx_pure_pure5%5BshowType%5D=pub&cHash=7e4595064c5f61701e8071c84fe6695f He, C., Kang, J., Teräsvirta, T., Zhang, S. Research Sat, 01 May 2021 19:39:09 +0200 ca21c82b-47f7-4a87-8d07-fecdd3add7ca <![CDATA[Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=44d11359-663a-4de0-8ffa-03fd9e621c15&tx_pure_pure5%5BshowType%5D=pub&cHash=95492e9ffbeb3305eb46df460bc19aba He, C., Kang, J., Teräsvirta, T., Zhang, S. Research Mon, 04 Nov 2019 19:39:09 +0100 44d11359-663a-4de0-8ffa-03fd9e621c15 <![CDATA[Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=33d5b8c1-e7aa-4a45-9b4d-d4f893df7bdb&tx_pure_pure5%5BshowType%5D=pub&cHash=486e43d523d42fddeebcaf85392b0958 He, C., Kang, J., Teräsvirta, T., Zhang, S. Research Fri, 01 Nov 2019 19:39:09 +0100 33d5b8c1-e7aa-4a45-9b4d-d4f893df7bdb <![CDATA[Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=9ce1538c-1eeb-4278-b138-bdd70df107da&tx_pure_pure5%5BshowType%5D=pub&cHash=cf92d4e324f27d2ecee2b2743b7dab95 Seong, D., Cho, J. S., Teräsvirta, T. Research Fri, 01 Nov 2019 19:39:09 +0100 9ce1538c-1eeb-4278-b138-bdd70df107da <![CDATA[The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b91a49a9-5c6b-4b75-9a3b-201a61c3b3fb&tx_pure_pure5%5BshowType%5D=pub&cHash=90b0d3b296be1deb44a4e04154b7df6f He, C., Kang, J., Teräsvirta, T., Zhang, S. Research Tue, 01 Jan 2019 19:39:09 +0100 b91a49a9-5c6b-4b75-9a3b-201a61c3b3fb <![CDATA[Global hemispheric temperatures and co-shifting]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=10b02754-787e-49a8-af77-5e8bcacea1c8&tx_pure_pure5%5BshowType%5D=pub&cHash=0fa15b6b0c7d807aa29590bb491c190c Holt, M. T., Terasvirta, T. This paper examines local changes in annual temperature data for the northern and southern hemispheres (1850–2017) by using a multivariate generalization of the shifting-meanautoregressive model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the QuickShift methodology. Full information maximum likelihood estimates of a bivariate system of temperature equations are then obtained and asymptotic properties of the corresponding estimators considered. The system is then used to perform formal tests of co-movements, called co-shifting, in the series. The results show evidence of co-shifting in the two series.

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Research Wed, 01 Jan 2020 19:39:09 +0100 10b02754-787e-49a8-af77-5e8bcacea1c8
<![CDATA[Transition from the Taylor rule to the zero lower bound]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f8809876-6d43-4522-a2b3-613df741f6ab&tx_pure_pure5%5BshowType%5D=pub&cHash=797f2d7c8169eb4bc95f6f8934ba2163 Hurn, S., Johnson, N., Silvennoinen, A., Terasvirta, T. Research Mon, 03 Dec 2018 19:39:09 +0100 f8809876-6d43-4522-a2b3-613df741f6ab <![CDATA[Models with Multiplicative Decomposition of Conditional Variances and Correlations]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=43594311-3a30-4dc0-b8a2-dd49adb0e37c&tx_pure_pure5%5BshowType%5D=pub&cHash=97881140b8bfbbe8c4ba57f412d6bfe6 Amado, C., Silvennoinen, A., Terasvirta, T. Research Tue, 01 Jan 2019 19:39:09 +0100 43594311-3a30-4dc0-b8a2-dd49adb0e37c <![CDATA[The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4690b80b-c155-4f67-91d3-58d93488ffd2&tx_pure_pure5%5BshowType%5D=pub&cHash=f6a3edcf69e7861ae3773b03f9352b2c He, C., Kang, J., Terasvirta, T., Zhang, S. Research Wed, 25 Apr 2018 19:39:09 +0200 4690b80b-c155-4f67-91d3-58d93488ffd2 <![CDATA[Models with Multiplicative Decomposition of Conditional Variances and Correlations]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0e8b773f-a626-4941-8364-c78d5a22cf71&tx_pure_pure5%5BshowType%5D=pub&cHash=d511ed75809ba28c2dd828ee7be2fcda Amado, C., Silvennoinen, A., Terasvirta, T. Research Wed, 25 Apr 2018 19:39:09 +0200 0e8b773f-a626-4941-8364-c78d5a22cf71 <![CDATA[Nonlinear models in macroeconometrics]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=717da6e1-13c3-4306-bc94-214c31fae2dd&tx_pure_pure5%5BshowType%5D=pub&cHash=be3cb7c9b88f86e9db974fa85ec3166b Terasvirta, T. Research Thu, 28 Jun 2018 19:39:09 +0200 717da6e1-13c3-4306-bc94-214c31fae2dd <![CDATA[Modelling nonlinear economic relationships]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3a2e739d-8c80-44f6-bbad-fbaf46dcedca&tx_pure_pure5%5BshowType%5D=pub&cHash=d7b517285b090e92f193851667b1d8f0 Granger, C. W.J., Terasvirta, T. Research Tue, 01 Aug 2017 19:39:09 +0200 3a2e739d-8c80-44f6-bbad-fbaf46dcedca <![CDATA[Modelling nonlinear economic time series]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=362c6cc4-09fe-4c12-bcf2-b1eb86862367&tx_pure_pure5%5BshowType%5D=pub&cHash=5bd6b9b691da7ad101c08c3107cae6c1 Terasvirta, T., Tjøstheim, D., Granger, C. W.J. Research Tue, 01 Aug 2017 19:39:09 +0200 362c6cc4-09fe-4c12-bcf2-b1eb86862367 <![CDATA[Panel Smooth Transition Regression Models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=5c859e6a-3463-4e89-a797-d6544f7d0162&tx_pure_pure5%5BshowType%5D=pub&cHash=9ef651c30cc07005c6ca589259b8d9f1 González, A., Terasvirta, T., Dijk, D. v., Yang, Y. Research Thu, 19 Oct 2017 19:39:09 +0200 5c859e6a-3463-4e89-a797-d6544f7d0162 <![CDATA[Nonlinear models in macroeconometrics]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=5602f5e8-3306-49aa-a4f0-ef22e2112a57&tx_pure_pure5%5BshowType%5D=pub&cHash=cde5225a97fa758fba4006f1218bbb1d Terasvirta, T. Research Mon, 02 Oct 2017 19:39:09 +0200 5602f5e8-3306-49aa-a4f0-ef22e2112a57 <![CDATA[Modelling and forecasting WIG20 daily returns]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=cff7b9d1-dd8c-454f-95d3-5165b237eef3&tx_pure_pure5%5BshowType%5D=pub&cHash=812b957ca50eb6d472a6412edddffa7c Amado, C., Silvennoinen, A., Terasvirta, T. Research Mon, 04 Sep 2017 19:39:09 +0200 cff7b9d1-dd8c-454f-95d3-5165b237eef3 <![CDATA[Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=177d285a-8bcd-4e0e-ba97-932ea95dec08&tx_pure_pure5%5BshowType%5D=pub&cHash=cae5924c8659017bf5500245a4c20cee Silvennoinen, A., Terasvirta, T. Research Mon, 04 Sep 2017 19:39:09 +0200 177d285a-8bcd-4e0e-ba97-932ea95dec08 <![CDATA[Modelling and forecasting WIG20 daily returns]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b332ecc5-c7f3-486b-bba1-168664ab00ca&tx_pure_pure5%5BshowType%5D=pub&cHash=235afb255d3c0167e0249574636bf229 Amado, C., Silvennoinen, A., Terasvirta, T. Research Sun, 01 Jan 2017 19:39:09 +0100 b332ecc5-c7f3-486b-bba1-168664ab00ca <![CDATA[Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ec58a48e-fa22-4769-a87d-9142ae0860d1&tx_pure_pure5%5BshowType%5D=pub&cHash=70a76d1f9d8e817b7dd8a5f92d215ee1 Holt, M. T., Terasvirta, T. results show evidence of co-shifting in the two series. Forecasting this pair of series is considered as well.]]> Research Tue, 31 Jan 2017 19:39:09 +0100 ec58a48e-fa22-4769-a87d-9142ae0860d1 <![CDATA[Sir Clive Granger’s contributions to nonlinear time series and econometrics]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=aa2d6083-6c91-42dd-b440-596acf4508ab&tx_pure_pure5%5BshowType%5D=pub&cHash=df05579c4ca2079208a8ec48f3cb81a5 Terasvirta, T. ]]> Research Tue, 31 Jan 2017 19:39:09 +0100 aa2d6083-6c91-42dd-b440-596acf4508ab <![CDATA[Sir Clive Granger's contributions to nonlinear time series and econometrics]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0f9d928c-a02d-42b0-84a5-0a647d5abf21&tx_pure_pure5%5BshowType%5D=pub&cHash=dd4438dcbcb52b8daa63fb894637b4aa Terasvirta, T. Research Sun, 01 Jan 2017 19:39:09 +0100 0f9d928c-a02d-42b0-84a5-0a647d5abf21 <![CDATA[A Lagrange Multiplier test for testing the adequacy of the Constant Conditional Correlation GARCH model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d5e99667-ab04-415f-ae82-eeebffac9b6c&tx_pure_pure5%5BshowType%5D=pub&cHash=deda79702e9999c41cc891ca9b394742 Catani, P., Terasvirta, T., Yin, M. Research Sun, 01 Jan 2017 19:39:09 +0100 d5e99667-ab04-415f-ae82-eeebffac9b6c <![CDATA[Testing constancy of unconditional variance in volatility models by misspecification and specification tests]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f932a4bc-85fc-426a-b911-09531e6515b0&tx_pure_pure5%5BshowType%5D=pub&cHash=c2c3f101937a365d38e78813ad293823 Silvennoinen, A., Terasvirta, T. Research Fri, 01 Jan 2016 19:39:09 +0100 f932a4bc-85fc-426a-b911-09531e6515b0 <![CDATA[Testing constancy of unconditional variance in volatility models by misspecification and specification tests]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=cfe20575-ccf8-4dd2-8c9a-add86712fdd3&tx_pure_pure5%5BshowType%5D=pub&cHash=16919fbf1f3257409a2e305c4bfddfcc Silvennoinen, A., Terasvirta, T. Research Tue, 27 Oct 2015 19:39:10 +0100 cfe20575-ccf8-4dd2-8c9a-add86712fdd3 <![CDATA[Specification and testing of Multiplicative Time-Varying GARCH models with applications]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6a483216-73bd-4d53-973a-7aa35e86a52c&tx_pure_pure5%5BshowType%5D=pub&cHash=08eb2f980d7d33e520bcb4ec8c7707c8 Amado, C., Teräsvirta, T. Research Sun, 01 Jan 2017 19:39:10 +0100 6a483216-73bd-4d53-973a-7aa35e86a52c <![CDATA[Forecasting macroeconomic variables using neural network models and three automated model selection techniques]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=94404bd7-e522-4f44-b380-d06e6a5432da&tx_pure_pure5%5BshowType%5D=pub&cHash=4ef5bce827f86c704e0fbcf2966533c4 Kock, A. B., Teräsvirta, T. Research Fri, 01 Jan 2016 19:39:10 +0100 94404bd7-e522-4f44-b380-d06e6a5432da <![CDATA[A smooth transition logit model of the effects of deregulation in the electricity market]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=df33fa53-33a9-4843-aec3-122932cbb59d&tx_pure_pure5%5BshowType%5D=pub&cHash=d1df517d65e61d861b4bd0634b7c5afc Hurn, A. S., Silvennoinen, A., Teräsvirta, T. variable is constructed. The maximum likelihood estimators of the parameters of the model are derived along with their asymptotic properties, together with a Lagrange multiplier test of the null hypothesis of linearity in the underlying latent index. The development of the STL model is motivated by the desire to assess the impact of deregulation in the Queensland electricity market and ascertain whether increased competition has resulted in significant changes in the behaviour of the spot price of electricity, specifically with respect to the occurrence of periodic abnormally high prices. The model allows the timing of any change to be endogenously determined and also market participants’ behaviour to change gradually over time. The main results provide clear evidence in support of a structural change in the nature of price events, and the endogenously determined timing of the change is consistent with the process of deregulation in Queensland. ]]> Research Fri, 01 Jan 2016 19:39:10 +0100 df33fa53-33a9-4843-aec3-122932cbb59d <![CDATA[A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ddade604-4d6b-4e87-9185-b1aff9078ce7&tx_pure_pure5%5BshowType%5D=pub&cHash=cdd96a565fbde18cc0893362475c9ca4 Hurn, A.S., Silvennoinen, A., Teräsvirta, T. Research Fri, 28 Mar 2014 19:39:10 +0100 ddade604-4d6b-4e87-9185-b1aff9078ce7 <![CDATA[Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=331e32dd-cc1f-416e-8b32-00c667ea93f7&tx_pure_pure5%5BshowType%5D=pub&cHash=105a2bae965a9ce19d6121e61bb7ee3f Teräsvirta, T., Yang, Y. Research Fri, 28 Mar 2014 19:39:10 +0100 331e32dd-cc1f-416e-8b32-00c667ea93f7 <![CDATA[Clive William John Granger 1934-2009]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=13f1993c-fde2-4b5f-a8d1-1bc89e0e40f8&tx_pure_pure5%5BshowType%5D=pub&cHash=6bb77ff77674099488e3f3e6a68d79b9 Hendry, D. F., Teräsvirta, T. Communication Tue, 01 Jan 2013 19:39:10 +0100 13f1993c-fde2-4b5f-a8d1-1bc89e0e40f8 <![CDATA[Linearity and Misspecification Tests for Vector Smooth Transition Regression Models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4463560a-b93c-4fa8-97c8-3615f7909559&tx_pure_pure5%5BshowType%5D=pub&cHash=26d81789b4963f435271510b07f17ca4 Teräsvirta, T., Yang, Y. Research Mon, 17 Feb 2014 19:39:10 +0100 4463560a-b93c-4fa8-97c8-3615f7909559 <![CDATA[A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e4eb8e8a-9f53-4334-8996-6139aac5492d&tx_pure_pure5%5BshowType%5D=pub&cHash=abbde3aec97561b1470e4f2db99d6e68 Catani, P., Teräsvirta, T., Yin, M. Research Mon, 03 Feb 2014 19:39:10 +0100 e4eb8e8a-9f53-4334-8996-6139aac5492d <![CDATA[Thresholds and smooth transitions in vector autoregressive models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c7d830e5-4517-4b4e-bcad-342708a454e2&tx_pure_pure5%5BshowType%5D=pub&cHash=4822e7e700fc29e18a76393efa95616e Hubrich, K., Teräsvirta, T. Research Tue, 01 Jan 2013 19:39:10 +0100 c7d830e5-4517-4b4e-bcad-342708a454e2 <![CDATA[Book Review of "Dynamic Models for Volatility and Heavy Tails: with Applications to Financial and Economic Time Series" by Andrew C. Harvey]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e29cbf4d-a813-4fb3-a119-797eb03b2873&tx_pure_pure5%5BshowType%5D=pub&cHash=087d6965a43de8812e7199dbb0b5b74d Teräsvirta, T. Communication Sun, 01 Dec 2013 19:39:10 +0100 e29cbf4d-a813-4fb3-a119-797eb03b2873 <![CDATA[Modelling changes in the unconditional variance of long stock return series]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d3f4163a-636b-45f4-9778-30ed93584ddf&tx_pure_pure5%5BshowType%5D=pub&cHash=d7131d5162c25444986e30336248ba97 Amado, C., Teräsvirta, T. Research Wed, 01 Jan 2014 19:39:10 +0100 d3f4163a-636b-45f4-9778-30ed93584ddf <![CDATA[Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2b97fb86-a840-4b61-a194-813ceca29ea6&tx_pure_pure5%5BshowType%5D=pub&cHash=e7fce6293fae7b2186c965e863d18ddb Amado, C., Teräsvirta, T. Research Wed, 01 Jan 2014 19:39:10 +0100 2b97fb86-a840-4b61-a194-813ceca29ea6 <![CDATA[Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0395ceb0-c523-4b05-9aa6-ef4f5e924aa1&tx_pure_pure5%5BshowType%5D=pub&cHash=e8d52bc8b1c966cd1b63ac76fc4d4029 Kock, A. B., Teräsvirta, T. Research Tue, 01 Jan 2013 19:39:10 +0100 0395ceb0-c523-4b05-9aa6-ef4f5e924aa1 <![CDATA[Thresholds and Smooth Transitions in Vector Autoregressive Models]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6e214b8d-170c-4bb5-98b7-0a290ab5709c&tx_pure_pure5%5BshowType%5D=pub&cHash=30eb38babada347b4217f610ba445820 Hubrich, K., Teräsvirta, T. Research Mon, 10 Jun 2013 19:39:10 +0200 6e214b8d-170c-4bb5-98b7-0a290ab5709c <![CDATA[Modelling volatility by variance decomposition]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=18c8cc6d-4005-4031-b033-598f13093c0d&tx_pure_pure5%5BshowType%5D=pub&cHash=06878bed9e048d94ee82fae19757e319 Amado, C., Teräsvirta, T. Research Tue, 01 Jan 2013 19:39:10 +0100 18c8cc6d-4005-4031-b033-598f13093c0d <![CDATA[Unit Roots, Non-linearities, and Structural Breaks]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f12c74e9-3501-4c59-99ba-e12dfb981915&tx_pure_pure5%5BshowType%5D=pub&cHash=e0ea5791e5d9dacde016a526c4b4d898 Haldrup, N., Kruse, R., Teräsvirta, T., Varneskov, R. T. Research Tue, 01 Jan 2013 19:39:10 +0100 f12c74e9-3501-4c59-99ba-e12dfb981915 <![CDATA[Forecasting performances of three automated modelling techniques during the economic crisis 2007-2009]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=13400638-9950-4e3d-bba2-4272f87ec094&tx_pure_pure5%5BshowType%5D=pub&cHash=968b62d58296d9703d175ffe97e0be01 Kock, A. B., Teräsvirta, T. Research Wed, 01 Jan 2014 19:39:10 +0100 13400638-9950-4e3d-bba2-4272f87ec094 <![CDATA[Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=774096c1-771b-46c1-bb41-c3f57151f502&tx_pure_pure5%5BshowType%5D=pub&cHash=72b87e4fa9b1209f0c3521eea5ea439a Holt, M. T., Teräsvirta, T. Research Thu, 29 Nov 2012 19:39:10 +0100 774096c1-771b-46c1-bb41-c3f57151f502 <![CDATA[Unit roots, nonlinearities and structural breaks]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ee5d5ed5-35d8-4a70-8bc4-7dbb3f950cb9&tx_pure_pure5%5BshowType%5D=pub&cHash=0782ac731ece454bea0bb5c747b88d3b Haldrup, N., Kruse, R., Teräsvirta, T., Varneskov, R. T. Research Tue, 24 Apr 2012 19:39:10 +0200 ee5d5ed5-35d8-4a70-8bc4-7dbb3f950cb9 <![CDATA[Modeling conditional correlations of asset returns]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0e0bfc62-8842-48f1-9c7c-5ec48ec4d274&tx_pure_pure5%5BshowType%5D=pub&cHash=c0d98d8e97e6c777f0b5bff9b647c01a Silvennoinen, A., Teräsvirta, T. Research Thu, 01 Jan 2015 19:39:10 +0100 0e0bfc62-8842-48f1-9c7c-5ec48ec4d274 <![CDATA[Modelling conditional correlations of asset returns: A smooth transition approach]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=16974c30-d477-45bf-9e32-99a29c1b9e52&tx_pure_pure5%5BshowType%5D=pub&cHash=9d3d3e14ef5de58b8167493470454602 Silvennoinen, A., Teräsvirta, T. Research Sun, 01 Jan 2012 19:39:10 +0100 16974c30-d477-45bf-9e32-99a29c1b9e52 <![CDATA[Modelling Changes in the Unconditional Variance of Long Stock Return Series]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=5b42b8cd-aaf7-456d-b7c4-e917e1433a02&tx_pure_pure5%5BshowType%5D=pub&cHash=6433087fdf6d05891703dfe6c596c11e Amado, C., Teräsvirta, T. constancy of the unconditional variance. Second, the results show that the long-memory property in volatility may be explained by ignored changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find evidence of the superiority of volatility forecast accuracy of the new model over the GJR-GARCH model at all horizons for a subset of the long return series.]]> Research Sun, 01 Jan 2012 19:39:10 +0100 5b42b8cd-aaf7-456d-b7c4-e917e1433a02 <![CDATA[Forecasting inflation with gradual regime shifts and exogenous information]]> https://econ.au.dk/research/researchcentres/creates/people/research-fellows/timo-teraesvirta?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=819fc599-89c9-4c6e-8e21-e6ab807a7d6c&tx_pure_pure5%5BshowType%5D=pub&cHash=e166a39dfd20c17520d3d010e3b37f0c González, A., Hubrich, K., Teräsvirta, T. Research Fri, 01 Jul 2011 19:39:10 +0200 819fc599-89c9-4c6e-8e21-e6ab807a7d6c