Edit Profile (opens in new tab) Teräsvirta, Timo Compute Distance To: Compute Author ID: terasvirta.timo Published as: Teräsvirta, Timo; Teräsvirta, T.; Terasvirta, Timo more...less External Links: ORCID Documents Indexed: 59 Publications since 1975, including 2 Books 3 Contributions as Editor Co-Authors: 38 Co-Authors with 45 Joint Publications 386 Co-Co-Authors all top 5 Co-Authors 15 single-authored 6 He, Changli 4 Granger, Clive William John 3 Franses, Philip Hans 3 Lundbergh, Stefan 3 Strikholm, Birgit 3 Tjøstheim, Dag B. 2 Amado, Cristina 2 Barnett, William A. 2 Hendry, David F. 2 Hylleberg, Svend 2 Judge, George G. 2 Lin, Chien-Fu Jeff 2 Luukkonen, Ritva 2 Mellin, Ilkka 2 Saikkonen, Pentti 2 Silvennoinen, Annastiina 2 van Dijk, Dick 2 Würtz, Allan H. 2 Yi, Gang 1 Brannas, Kurt 1 Catani, Paul 1 De Gooijer, Jan G. 1 Eitrheim, Øyvind 1 Eklund, Bruno 1 Holt, Matthew T. 1 Hubrich, Kirstin 1 Kock, Anders Bredahl 1 Leskinen, Esko 1 Malmsten, Hans 1 Nakatani, Tomoaki 1 Patton, Andrew J. 1 Peguin-Feissolle, Anne 1 Rech, Gianluigi 1 Skalin, Joakim 1 Toutenburg, Helge 1 Tschernig, Rolf 1 Yancey, Thomas A. 1 Yin, Meiqun all top 5 Serials 12 Journal of Econometrics 7 Scandinavian Journal of Statistics 6 Econometric Reviews 4 Communications in Statistics. Theory and Methods 3 The Econometrics Journal 3 Macroeconomic Dynamics 3 Econometric Theory 2 Studies in Nonlinear Dynamics and Econometrics 2 Advanced Texts in Econometrics 1 Biometrical Journal 1 Biometrika 1 Econometrica 1 Journal of the American Statistical Association 1 Kybernetika 1 Przeglad Statystyczny 1 Journal of Time Series Analysis 1 Computational Statistics Quarterly 1 Economics Letters 1 Communications in Statistics. Simulation and Computation 1 Mathematische Operationsforschung und Statistik 1 European Journal of Pure and Applied Mathematics all top 5 Fields 54 Statistics (62-XX) 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 General and overarching topics; collections (00-XX) 3 Numerical analysis (65-XX) 2 Probability theory and stochastic processes (60-XX) 1 History and biography (01-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 45 Publications have been cited 921 times in 629 Documents Cited by ▼ Year ▼ Modelling nonlinear economic relationships. Zbl 0893.90030Granger, Clive W. J.; Teräsvirta, Timo 150 1993 Specification, estimation, and evaluation of smooth transition autoregressive models. Zbl 1254.91686Teräsvirta, Timo 116 1994 Testing linearity against smooth transition autoregressive models. Zbl 0657.62109Luukkonen, Ritva; Saikkonen, Pentti; Teräsvirta, Timo 98 1988 Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans 68 2002 Properties of moments of a family of GARCH processes. Zbl 0929.62093He, Changli; Teräsvirta, Timo 59 1999 Modelling nonlinear economic time series. Zbl 1305.62010Teräsvirta, Timo; Tjøstheim, Dag; Granger, Clive W. J. 47 2010 Multivariate GARCH models. Zbl 1178.62103Silvennoinen, Annastiina; Teräsvirta, Timo 39 2009 Testing the adequacy of smooth transition autoregressive models. Zbl 0864.62058Eitrheim, Øyvind; Teräsvirta, Timo 35 1996 Testing the constancy of regression parameters against continuous structural change. Zbl 0796.62054Lin, Chien-Fu Jeff; Teräsvirta, Timo 35 1994 A simple nonlinear time series model with misleading linear properties. Zbl 0918.90044Granger, Clive W. J.; Teräsvirta, Timo 34 1999 Evaluating GARCH models. Zbl 1040.62078Lundbergh, Stefan; Teräsvirta, Timo 32 2002 Fourth moment structure of the GARCH\((p,q)\) process. Zbl 0961.62077He, Changli; Teräsvirta, Timo 27 1999 Testing linearity in univariate time series models. Zbl 0666.62089Luukkonen, Ritva; Saikkonen, Pentti; Teräsvirta, Timo 20 1988 An extended constant conditional correlation GARCH model and its fourth-moment structure. Zbl 1071.62077He, Changli; Teräsvirta, Timo 15 2004 Moment structure of a family of first-order exponential GARCH models. Zbl 1106.62345He, Changli; Teräsvirta, Timo; Malmsten, Hans 14 2002 Testing for volatility interactions in the constant conditional correlation GARCH model. Zbl 1190.62160Nakatani, Tomoaki; Teräsvirta, Timo 13 2009 Modeling asymmetries and moving equilibria in unemployment rates. Zbl 1005.91049Skalin, Joakim; Teräsvirta, Timo 11 2002 An introduction to univariate GARCH models. Zbl 1178.62104Teräsvirta, Timo 10 2009 Common factors in conditional distributions for bivariate time series. Zbl 1337.62263Granger, Clive W. J.; Teräsvirta, Timo; Patton, Andrew J. 10 2006 Modelling volatility by variance decomposition. Zbl 1283.62180Amado, Cristina; Teräsvirta, Timo 10 2013 Model selection criteria and model selection tests in regression models. Zbl 0623.62065Teräsvirta, Timo; Mellin, Ilkka 6 1986 A simple variable selection technique for nonlinear models. Zbl 1008.62620Rech, Gianluigi; Teräsvirta, Timo; Tschernig, Rolf 6 2001 Superiority comparisons of homogeneous linear estimators. Zbl 0506.62052Teräsvirta, Timo 5 1982 The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series. Zbl 1069.91091van Dijk, Dick; Strikholm, Birgit; Teräsvirta, Timo 5 2003 The extended Stein procedure for simultaneous model selection and parameter estimation. Zbl 0617.62053Judge, George; Yi, Gang; Yancey, Thomas; Teräsvirta, Timo 5 1987 Testing parameter constancy in linear models against stochastic stationary parameters. Zbl 0930.62088Lin, Chien-Fu Jeff; Teräsvirta, Timo 5 1999 Modelling autoregressive processes with a shifting mean. Zbl 1194.62100González, Andrés; Teräsvirta, Timo 5 2008 A note on bias in the Almon distributed lag estimator. Zbl 0348.62030Terasvirta, Timo 5 1976 A sequential procedure for determining the number of regimes in a threshold autoregressive model. Zbl 1106.62091Strikholm, Birgit; Teräsvirta, Timo 4 2006 Power properties of linearity tests for time series. Zbl 1078.91574Teräsvirta, Timo 3 1996 Testing linearity and modelling nonlinear time series. Zbl 0809.62084Teräsvirta, Timo 3 1994 The invertibility of sums of discrete MA and ARMA processes. Zbl 0373.62052Teräsvirta, Timo 3 1977 Testing constancy of the error covariance matrix in vector models. Zbl 1247.62222Eklund, Bruno; Teräsvirta, Timo 3 2007 Testing parameter constancy in stationary vector autoregressive models against continuous change. Zbl 1156.62056He, Changli; Teräsvirta, Timo; González, Andrés 3 2009 A time series model for an exchange rate in a target zone with applications. Zbl 1337.62330Lundbergh, Stefan; Teräsvirta, Timo 3 2006 Properties of the autocorrelation function of squared observations for second-order GARCH processes under two sets of parameter constraints. Zbl 0922.62088He, Changli; Teräsvirta, Timo 2 1999 Some results on improving the least squares estimation of linear models by mixed estimation. Zbl 0448.62055Teräsvirta, Timo 2 1981 Forecasting with smooth transition autoregressive models. 1st paperback ed. Zbl 1093.62087Lundbergh, Stefan; Teräsvirta, Timo 2 2004 Thresholds and smooth transitions in vector autoregressive models. Zbl 1443.62153Hubrich, Kirstin; Teräsvirta, Timo 2 2013 Restricted superiority of linear homogeneous estimators over ordinary least squares. Zbl 0523.62065Teräsvirta, Timo 1 1983 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Zbl 1433.62063Péguin-Feissolle, Anne; Strikholm, Birgit; Teräsvirta, Timo 1 2013 Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9–11, 2000. Zbl 1007.00045 1 2002 Testing linearity against nonlinear moving average models. Zbl 0926.62076Brännäs, Kurt; De Gooijer, Jan G.; Teräsvirta, Timo 1 1998 A note on predicting with seemingly unrelated regression equations. Zbl 0318.62058Teräsvirta, Timo 1 1975 On the estimation of dynamic price elasticities with Box-Jenkins methods: A case study. Zbl 0353.62071Leskinen, Esko; Teräsvirta, Timo 1 1977 Modelling volatility by variance decomposition. Zbl 1283.62180Amado, Cristina; Teräsvirta, Timo 10 2013 Thresholds and smooth transitions in vector autoregressive models. Zbl 1443.62153Hubrich, Kirstin; Teräsvirta, Timo 2 2013 Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Zbl 1433.62063Péguin-Feissolle, Anne; Strikholm, Birgit; Teräsvirta, Timo 1 2013 Modelling nonlinear economic time series. Zbl 1305.62010Teräsvirta, Timo; Tjøstheim, Dag; Granger, Clive W. J. 47 2010 Multivariate GARCH models. Zbl 1178.62103Silvennoinen, Annastiina; Teräsvirta, Timo 39 2009 Testing for volatility interactions in the constant conditional correlation GARCH model. Zbl 1190.62160Nakatani, Tomoaki; Teräsvirta, Timo 13 2009 An introduction to univariate GARCH models. Zbl 1178.62104Teräsvirta, Timo 10 2009 Testing parameter constancy in stationary vector autoregressive models against continuous change. Zbl 1156.62056He, Changli; Teräsvirta, Timo; González, Andrés 3 2009 Modelling autoregressive processes with a shifting mean. Zbl 1194.62100González, Andrés; Teräsvirta, Timo 5 2008 Testing constancy of the error covariance matrix in vector models. Zbl 1247.62222Eklund, Bruno; Teräsvirta, Timo 3 2007 Common factors in conditional distributions for bivariate time series. Zbl 1337.62263Granger, Clive W. J.; Teräsvirta, Timo; Patton, Andrew J. 10 2006 A sequential procedure for determining the number of regimes in a threshold autoregressive model. Zbl 1106.62091Strikholm, Birgit; Teräsvirta, Timo 4 2006 A time series model for an exchange rate in a target zone with applications. Zbl 1337.62330Lundbergh, Stefan; Teräsvirta, Timo 3 2006 An extended constant conditional correlation GARCH model and its fourth-moment structure. Zbl 1071.62077He, Changli; Teräsvirta, Timo 15 2004 Forecasting with smooth transition autoregressive models. 1st paperback ed. Zbl 1093.62087Lundbergh, Stefan; Teräsvirta, Timo 2 2004 The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series. Zbl 1069.91091van Dijk, Dick; Strikholm, Birgit; Teräsvirta, Timo 5 2003 Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans 68 2002 Evaluating GARCH models. Zbl 1040.62078Lundbergh, Stefan; Teräsvirta, Timo 32 2002 Moment structure of a family of first-order exponential GARCH models. Zbl 1106.62345He, Changli; Teräsvirta, Timo; Malmsten, Hans 14 2002 Modeling asymmetries and moving equilibria in unemployment rates. Zbl 1005.91049Skalin, Joakim; Teräsvirta, Timo 11 2002 Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9–11, 2000. Zbl 1007.00045 1 2002 A simple variable selection technique for nonlinear models. Zbl 1008.62620Rech, Gianluigi; Teräsvirta, Timo; Tschernig, Rolf 6 2001 Properties of moments of a family of GARCH processes. Zbl 0929.62093He, Changli; Teräsvirta, Timo 59 1999 A simple nonlinear time series model with misleading linear properties. Zbl 0918.90044Granger, Clive W. J.; Teräsvirta, Timo 34 1999 Fourth moment structure of the GARCH\((p,q)\) process. Zbl 0961.62077He, Changli; Teräsvirta, Timo 27 1999 Testing parameter constancy in linear models against stochastic stationary parameters. Zbl 0930.62088Lin, Chien-Fu Jeff; Teräsvirta, Timo 5 1999 Properties of the autocorrelation function of squared observations for second-order GARCH processes under two sets of parameter constraints. Zbl 0922.62088He, Changli; Teräsvirta, Timo 2 1999 Testing linearity against nonlinear moving average models. Zbl 0926.62076Brännäs, Kurt; De Gooijer, Jan G.; Teräsvirta, Timo 1 1998 Testing the adequacy of smooth transition autoregressive models. Zbl 0864.62058Eitrheim, Øyvind; Teräsvirta, Timo 35 1996 Power properties of linearity tests for time series. Zbl 1078.91574Teräsvirta, Timo 3 1996 Specification, estimation, and evaluation of smooth transition autoregressive models. Zbl 1254.91686Teräsvirta, Timo 116 1994 Testing the constancy of regression parameters against continuous structural change. Zbl 0796.62054Lin, Chien-Fu Jeff; Teräsvirta, Timo 35 1994 Testing linearity and modelling nonlinear time series. Zbl 0809.62084Teräsvirta, Timo 3 1994 Modelling nonlinear economic relationships. Zbl 0893.90030Granger, Clive W. J.; Teräsvirta, Timo 150 1993 Testing linearity against smooth transition autoregressive models. Zbl 0657.62109Luukkonen, Ritva; Saikkonen, Pentti; Teräsvirta, Timo 98 1988 Testing linearity in univariate time series models. Zbl 0666.62089Luukkonen, Ritva; Saikkonen, Pentti; Teräsvirta, Timo 20 1988 The extended Stein procedure for simultaneous model selection and parameter estimation. Zbl 0617.62053Judge, George; Yi, Gang; Yancey, Thomas; Teräsvirta, Timo 5 1987 Model selection criteria and model selection tests in regression models. Zbl 0623.62065Teräsvirta, Timo; Mellin, Ilkka 6 1986 Restricted superiority of linear homogeneous estimators over ordinary least squares. Zbl 0523.62065Teräsvirta, Timo 1 1983 Superiority comparisons of homogeneous linear estimators. Zbl 0506.62052Teräsvirta, Timo 5 1982 Some results on improving the least squares estimation of linear models by mixed estimation. Zbl 0448.62055Teräsvirta, Timo 2 1981 The invertibility of sums of discrete MA and ARMA processes. Zbl 0373.62052Teräsvirta, Timo 3 1977 On the estimation of dynamic price elasticities with Box-Jenkins methods: A case study. Zbl 0353.62071Leskinen, Esko; Teräsvirta, Timo 1 1977 A note on bias in the Almon distributed lag estimator. Zbl 0348.62030Terasvirta, Timo 5 1976 A note on predicting with seemingly unrelated regression equations. Zbl 0318.62058Teräsvirta, Timo 1 1975 all cited Publications top 5 cited Publications all top 5 Cited by 860 Authors 25 Teräsvirta, Timo 15 Tjøstheim, Dag B. 12 Medeiros, Marcelo C. 9 Francq, Christian 9 Horváth, Lajos 9 Kapetanios, George 9 McAleer, Michael 9 Saikkonen, Pentti 8 Meitz, Mika 7 Chen, Cathy W. S. 7 Fokianos, Konstantinos 7 Franses, Philip Hans 7 Gao, Jiti 7 Zakoïan, Jean-Michel 6 Linton, Oliver Bruce 6 Thavaneswaran, Aerambamoorthy 6 van Dijk, Dick 6 Wu, Wei Biao 5 Appadoo, S. S. 5 Hong, Yongmiao 5 Lee, Tae-Hwy 5 Lu, Zudi 4 Battaglia, Francesco Paolo 4 Boswijk, H. Peter 4 Boutahar, Mohamed 4 Chen, Xiaohong 4 Demos, Antonis 4 Fan, Yanqin 4 Guégan, Dominique 4 He, Changli 4 Hillebrand, Eric 4 Kiliç, Rehim 4 Kokoszka, Piotr S. 4 Koopman, Siem Jan 4 Kruse, Robinson 4 Lütkepohl, Helmut 4 Lux, Thomas C. H. 4 Park, Joon Y. 4 Peel, David A. 4 Ruiz, Esther 4 Sandberg, Rickard 4 Sibbertsen, Philipp 4 Zhang, Lingxiang 3 Benítez, José Manuel 3 Blasques, Francisco 3 Cai, Zongwu 3 Caporale, Guglielmo Maria 3 Chen, Rong 3 Chen, Yiting 3 Coakley, Jerry 3 De Gooijer, Jan G. 3 Demetrescu, Matei 3 Ding, Feng 3 Duchesne, Pierre 3 Eklund, Bruno 3 Furceri, Davide 3 Gerlach, Richard H. 3 Gil-Alana, Luis Alberiko 3 Gourieroux, Christian 3 Granger, Clive William John 3 Guidolin, Massimo 3 Hafner, Christian Matthias 3 Herwartz, Helmut 3 Hörmann, Siegfried 3 Jalles, João Tovar 3 Jasiak, Joann 3 Jawadi, Fredj 3 Karanasos, Menelaos 3 Lee, Sangyeol 3 Leipus, Remigijus 3 Li, Degui 3 Liew, Venus Khim-Sen 3 Liu, Jichun 3 Maki, Daiki 3 Orme, Chris D. 3 Peiris, M. Shelton 3 Protopapas, Mattheos K. 3 Psaradakis, Zacharias 3 Rahbek, Anders 3 Seo, Myunghwan 3 Shao, Xiaofeng 3 Shin, Yongcheol 3 Stasinakis, Charalampos 3 Strikholm, Birgit 3 Swanson, Norman Rasmus 3 Trenkler, Götz 3 Veiga, Alvaro 3 Wang, Qiying 3 White, Halbert Lynn jun. 3 Wintenberger, Olivier 3 Xu, Huan 3 Zhu, Ke 2 Afonso, António 2 Alkhamisi, Mahdi A. 2 Al-saedi, Ahmed Eid Salem 2 Amado, Cristina 2 An, Hongzhi 2 Andreou, Elena 2 Asai, Manabu 2 Ashley, Richard A. ...and 760 more Authors all top 5 Cited in 108 Serials 117 Journal of Econometrics 37 Econometric Reviews 36 Econometric Theory 35 Economics Letters 34 Computational Statistics and Data Analysis 29 Journal of Time Series Analysis 27 Journal of Economic Dynamics & Control 17 Statistics & Probability Letters 16 Quantitative Finance 15 Journal of Statistical Planning and Inference 15 The Econometrics Journal 14 Communications in Statistics. Theory and Methods 13 Journal of Statistical Computation and Simulation 10 Mathematics and Computers in Simulation 9 The Annals of Statistics 8 Open Economies Review 8 Statistical Papers 7 Annals of Operations Research 7 European Journal of Operational Research 7 Journal of Applied Statistics 6 Journal of Time Series Econometrics 5 Computational Statistics 5 Computational Economics 5 Journal of Nonparametric Statistics 5 Statistics and Computing 4 The Canadian Journal of Statistics 4 Journal of Multivariate Analysis 4 Kybernetika 4 Communications in Statistics. Simulation and Computation 4 Stochastic Processes and their Applications 4 Studies in Nonlinear Dynamics and Econometrics 4 Electronic Journal of Statistics 3 Applied Mathematics and Computation 3 Journal of the American Statistical Association 3 Mathematical and Computer Modelling 3 Test 3 Macroeconomic Dynamics 3 AStA. Allgemeines Statistisches Archiv 3 Statistical Methods and Applications 2 Physica A 2 Psychometrika 2 Fuzzy Sets and Systems 2 Information Sciences 2 Computers & Operations Research 2 Neural Computation 2 Statistica Sinica 2 Nonlinear Dynamics 2 International Journal of Theoretical and Applied Finance 2 Statistical Modelling 2 North American Actuarial Journal 2 Statistical Methodology 2 Advances in Data Analysis and Classification. ADAC 2 Journal of Statistical Theory and Practice 2 European Journal of Pure and Applied Mathematics 2 Annals of Finance 1 Advances in Applied Probability 1 Journal of the Franklin Institute 1 Journal of Mathematical Biology 1 Lithuanian Mathematical Journal 1 Metrika 1 Scandinavian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 International Economic Review 1 International Statistical Review 1 Journal of Computational and Applied Mathematics 1 Journal of Mathematical Economics 1 Metron 1 Statistica Neerlandica 1 Insurance Mathematics & Economics 1 Physica D 1 Statistics 1 Statistical Science 1 Automation and Remote Control 1 Statistische Hefte 1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 1 Applied Mathematics. Series B (English Edition) 1 Mathematical Methods of Statistics 1 Journal of Difference Equations and Applications 1 Boletín de la Sociedad Matemática Mexicana. Third Series 1 Bernoulli 1 Mathematical Problems in Engineering 1 Journal of Applied Mathematics and Decision Sciences 1 Far East Journal of Theoretical Statistics 1 Mathematical and Computer Modelling of Dynamical Systems 1 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 Extremes 1 Statistical Inference for Stochastic Processes 1 International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 Asia-Pacific Financial Markets 1 Thai Journal of Mathematics 1 International Journal of Wavelets, Multiresolution and Information Processing 1 Computational Management Science 1 Iranian Journal of Fuzzy Systems 1 Journal of Forecasting 1 AStA. Advances in Statistical Analysis 1 The Annals of Applied Statistics 1 Journal of the Italian Statistical Society 1 Bulletin of Economic Research 1 Statistics Surveys ...and 8 more Serials all top 5 Cited in 20 Fields 550 Statistics (62-XX) 238 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 66 Numerical analysis (65-XX) 55 Probability theory and stochastic processes (60-XX) 10 Dynamical systems and ergodic theory (37-XX) 8 Computer science (68-XX) 7 Operations research, mathematical programming (90-XX) 4 Biology and other natural sciences (92-XX) 4 Systems theory; control (93-XX) 3 General and overarching topics; collections (00-XX) 3 History and biography (01-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Geophysics (86-XX) 1 Ordinary differential equations (34-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Functional analysis (46-XX) 1 Optics, electromagnetic theory (78-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year