Timo Terasvirta

Aarhus University - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

Multivariate GARCH Models

CREATES Research Paper 2008-6
Number of pages: 27 Posted: 25 Jun 2008
Annastiina Silvennoinen and Timo Terasvirta
University of Technology Sydney (UTS) and Aarhus University - CREATES
Downloads 534 (50,603)
Citation 17

Abstract:

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Multivariate GARCH, Volatility

2.

Forecasting with Nonlinear Time Series Models

CREATES Research Paper No. 2010-1
Number of pages: 34 Posted: 04 Jan 2010 Last Revised: 05 Jan 2010
Timo Terasvirta and Anders Bredahl Kock
Aarhus University - CREATES and Aarhus University - CREATES
Downloads 227 (133,813)
Citation 1

Abstract:

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forecast accuracy, Kolmogorov-Gabor, nearest neighbour, neural network, nonlinear regression

3.

Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

CREATES Research Paper No. 2008-5
Number of pages: 34 Posted: 25 Jun 2008
Annastiina Silvennoinen and Timo Terasvirta
University of Technology Sydney (UTS) and Aarhus University - CREATES
Downloads 115 (239,127)
Citation 29

Abstract:

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Multivariate GARCH, Constant conditional correlation, Dynamic conditional correlation, Return comovement, Variable correlation GARCH model, Volatility model evaluation

4.

Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure

CREATES Research Paper No. 2008-8
Number of pages: 58 Posted: 25 Jun 2008
Christina Amado and Timo Terasvirta
affiliation not provided to SSRN and Aarhus University - CREATES
Downloads 109 (248,449)
Citation 20

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Conditional heteroskedasticity, Structural change, Lagrange multiplier test, Misspecification test, Nonlinear time series, Time-varying parameter model

Parameterizing Unconditional Skewness in Models for Financial Time Series

CREATES Research Paper No. 2008-7
Number of pages: 24 Posted: 25 Jun 2008
Changli He, Annastiina Silvennoinen and Timo Terasvirta
affiliation not provided to SSRN, University of Technology Sydney (UTS) and Aarhus University - CREATES
Downloads 64 (347,847)
Citation 12

Abstract:

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Asymmetry, GARCH, Nonlinearity, Shock Impact Curve, Time series, Unconditional skewness

6.

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

CREATES Research Paper 2008-19
Number of pages: 37 Posted: 23 Jun 2008
affiliation not provided to SSRN, Bank of Estonia and Aarhus University - CREATES
Downloads 57 (363,768)
Citation 3

Abstract:

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Hypothesis testing, causality

7.

Forecasting Inflation with Gradual Regime Shifts and Exogenous Information

ECB Working Paper No. 1363
Number of pages: 47 Posted: 29 Jul 2011
Kirstin Hubrich, Timo Terasvirta and Andres Gonzalez
Board of Governors of the Federal Reserve System, Aarhus University - CREATES and Independent
Downloads 41 (418,273)

Abstract:

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Nonlinear forecast, nonlinear model, nonlinear trend, penalised likelihood, structural shift, time-varying parameter