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Teräsvirta, Timo

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Author ID: terasvirta.timo Recent zbMATH articles by "Teräsvirta, Timo"
Published as: Teräsvirta, Timo; Teräsvirta, T.; Terasvirta, Timo
External Links: ORCID
Documents Indexed: 58 Publications since 1975, including 3 Books

Publications by Year

Citations contained in zbMATH Open

45 Publications have been cited 842 times in 580 Documents Cited by Year
Modelling nonlinear economic relationships. Zbl 0893.90030
Granger, Clive W. J.; Teräsvirta, Timo
142
1993
Specification, estimation, and evaluation of smooth transition autoregressive models. Zbl 1254.91686
Teräsvirta, Timo
107
1994
Testing linearity against smooth transition autoregressive models. Zbl 0657.62109
Luukkonen, Ritva; Saikkonen, Pentti; Teräsvirta, Timo
91
1988
Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047
van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans
63
2002
Properties of moments of a family of GARCH processes. Zbl 0929.62093
He, Changli; Teräsvirta, Timo
55
1999
Modelling nonlinear economic time series. Zbl 1305.62010
Teräsvirta, Timo; Tjøstheim, Dag; Granger, Clive W. J.
40
2010
Multivariate GARCH models. Zbl 1178.62103
Silvennoinen, Annastiina; Teräsvirta, Timo
36
2009
Testing the constancy of regression parameters against continuous structural change. Zbl 0796.62054
Lin, Chien-Fu Jeff; Teräsvirta, Timo
34
1994
A simple nonlinear time series model with misleading linear properties. Zbl 0918.90044
Granger, Clive W. J.; Teräsvirta, Timo
33
1999
Testing the adequacy of smooth transition autoregressive models. Zbl 0864.62058
Eitrheim, Øyvind; Teräsvirta, Timo
31
1996
Evaluating GARCH models. Zbl 1040.62078
Lundbergh, Stefan; Teräsvirta, Timo
27
2002
Fourth moment structure of the GARCH\((p,q)\) process. Zbl 0961.62077
He, Changli; Teräsvirta, Timo
26
1999
Testing linearity in univariate time series models. Zbl 0666.62089
Luukkonen, Ritva; Saikkonen, Pentti; Teräsvirta, Timo
19
1988
Moment structure of a family of first-order exponential GARCH models. Zbl 1106.62345
He, Changli; Teräsvirta, Timo; Malmsten, Hans
13
2002
An extended constant conditional correlation GARCH model and its fourth-moment structure. Zbl 1071.62077
He, Changli; Teräsvirta, Timo
11
2004
Common factors in conditional distributions for bivariate time series. Zbl 1337.62263
Granger, Clive W. J.; Teräsvirta, Timo; Patton, Andrew J.
10
2006
An introduction to univariate GARCH models. Zbl 1178.62104
Teräsvirta, Timo
10
2009
Modeling asymmetries and moving equilibria in unemployment rates. Zbl 1005.91049
Skalin, Joakim; Teräsvirta, Timo
8
2002
Testing for volatility interactions in the constant conditional correlation GARCH model. Zbl 1190.62160
Nakatani, Tomoaki; Teräsvirta, Timo
8
2009
A simple variable selection technique for nonlinear models. Zbl 1008.62620
Rech, Gianluigi; Teräsvirta, Timo; Tschernig, Rolf
6
2001
Modelling volatility by variance decomposition. Zbl 1283.62180
Amado, Cristina; Teräsvirta, Timo
6
2013
Model selection criteria and model selection tests in regression models. Zbl 0623.62065
Teräsvirta, Timo; Mellin, Ilkka
6
1986
Superiority comparisons of homogeneous linear estimators. Zbl 0506.62052
Teräsvirta, Timo
5
1982
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series. Zbl 1069.91091
van Dijk, Dick; Strikholm, Birgit; Teräsvirta, Timo
5
2003
A note on bias in the Almon distributed lag estimator. Zbl 0348.62030
Terasvirta, Timo
5
1976
The extended Stein procedure for simultaneous model selection and parameter estimation. Zbl 0617.62053
Judge, George; Yi, Gang; Yancey, Thomas; Teräsvirta, Timo
5
1987
Modelling autoregressive processes with a shifting mean. Zbl 1194.62100
González, Andrés; Teräsvirta, Timo
4
2008
A sequential procedure for determining the number of regimes in a threshold autoregressive model. Zbl 1106.62091
Strikholm, Birgit; Teräsvirta, Timo
4
2006
A time series model for an exchange rate in a target zone with applications. Zbl 1337.62330
Lundbergh, Stefan; Teräsvirta, Timo
3
2006
Testing linearity and modelling nonlinear time series. Zbl 0809.62084
Teräsvirta, Timo
3
1994
The invertibility of sums of discrete MA and ARMA processes. Zbl 0373.62052
Teräsvirta, Timo
3
1977
Power properties of linearity tests for time series. Zbl 1078.91574
Teräsvirta, Timo
3
1996
Testing parameter constancy in stationary vector autoregressive models against continuous change. Zbl 1156.62056
He, Changli; Teräsvirta, Timo; González, Andrés
3
2009
Some results on improving the least squares estimation of linear models by mixed estimation. Zbl 0448.62055
Teräsvirta, Timo
2
1981
Testing parameter constancy in linear models against stochastic stationary parameters. Zbl 0930.62088
Lin, Chien-Fu Jeff; Teräsvirta, Timo
2
1999
Properties of the autocorrelation function of squared observations for second-order GARCH processes under two sets of parameter constraints. Zbl 0922.62088
He, Changli; Teräsvirta, Timo
2
1999
Testing constancy of the error covariance matrix in vector models. Zbl 1247.62222
Eklund, Bruno; Teräsvirta, Timo
2
2007
Forecasting with smooth transition autoregressive models. 1st paperback ed. Zbl 1093.62087
Lundbergh, Stefan; Teräsvirta, Timo
2
2004
Thresholds and smooth transitions in vector autoregressive models. Zbl 1443.62153
Hubrich, Kirstin; 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
Davidson, James (ed.); Teräsvirta, Timo (ed.)
1
2002
Testing linearity against nonlinear moving average models. Zbl 0926.62076
Brännäs, Kurt; De Gooijer, Jan G.; Teräsvirta, Timo
1
1998
On the estimation of dynamic price elasticities with Box-Jenkins methods: A case study. Zbl 0353.62071
Leskinen, Esko; Teräsvirta, Timo
1
1977
Restricted superiority of linear homogeneous estimators over ordinary least squares. Zbl 0523.62065
Teräsvirta, Timo
1
1983
A note on predicting with seemingly unrelated regression equations. Zbl 0318.62058
Teräsvirta, Timo
1
1975
Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Zbl 1433.62063
Péguin-Feissolle, Anne; Strikholm, Birgit; Teräsvirta, Timo
1
2013
Modelling volatility by variance decomposition. Zbl 1283.62180
Amado, Cristina; Teräsvirta, Timo
6
2013
Thresholds and smooth transitions in vector autoregressive models. Zbl 1443.62153
Hubrich, Kirstin; Teräsvirta, Timo
1
2013
Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Zbl 1433.62063
Péguin-Feissolle, Anne; Strikholm, Birgit; Teräsvirta, Timo
1
2013
Modelling nonlinear economic time series. Zbl 1305.62010
Teräsvirta, Timo; Tjøstheim, Dag; Granger, Clive W. J.
40
2010
Multivariate GARCH models. Zbl 1178.62103
Silvennoinen, Annastiina; Teräsvirta, Timo
36
2009
An introduction to univariate GARCH models. Zbl 1178.62104
Teräsvirta, Timo
10
2009
Testing for volatility interactions in the constant conditional correlation GARCH model. Zbl 1190.62160
Nakatani, Tomoaki; Teräsvirta, Timo
8
2009
Testing parameter constancy in stationary vector autoregressive models against continuous change. Zbl 1156.62056
He, Changli; Teräsvirta, Timo; González, Andrés
3
2009
Modelling autoregressive processes with a shifting mean. Zbl 1194.62100
González, Andrés; Teräsvirta, Timo
4
2008
Testing constancy of the error covariance matrix in vector models. Zbl 1247.62222
Eklund, Bruno; Teräsvirta, Timo
2
2007
Common factors in conditional distributions for bivariate time series. Zbl 1337.62263
Granger, 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 1106.62091
Strikholm, Birgit; Teräsvirta, Timo
4
2006
A time series model for an exchange rate in a target zone with applications. Zbl 1337.62330
Lundbergh, Stefan; Teräsvirta, Timo
3
2006
An extended constant conditional correlation GARCH model and its fourth-moment structure. Zbl 1071.62077
He, Changli; Teräsvirta, Timo
11
2004
Forecasting with smooth transition autoregressive models. 1st paperback ed. Zbl 1093.62087
Lundbergh, 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 1069.91091
van Dijk, Dick; Strikholm, Birgit; Teräsvirta, Timo
5
2003
Smooth transition autoregressive models – a survey of recent developments. Zbl 1070.91047
van Dijk, Dick; Teräsvirta, Timo; Franses, Philip Hans
63
2002
Evaluating GARCH models. Zbl 1040.62078
Lundbergh, Stefan; Teräsvirta, Timo
27
2002
Moment structure of a family of first-order exponential GARCH models. Zbl 1106.62345
He, Changli; Teräsvirta, Timo; Malmsten, Hans
13
2002
Modeling asymmetries and moving equilibria in unemployment rates. Zbl 1005.91049
Skalin, Joakim; Teräsvirta, Timo
8
2002
Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9–11, 2000. Zbl 1007.00045
Davidson, James; Teräsvirta, Timo
1
2002
A simple variable selection technique for nonlinear models. Zbl 1008.62620
Rech, Gianluigi; Teräsvirta, Timo; Tschernig, Rolf
6
2001
Properties of moments of a family of GARCH processes. Zbl 0929.62093
He, Changli; Teräsvirta, Timo
55
1999
A simple nonlinear time series model with misleading linear properties. Zbl 0918.90044
Granger, Clive W. J.; Teräsvirta, Timo
33
1999
Fourth moment structure of the GARCH\((p,q)\) process. Zbl 0961.62077
He, Changli; Teräsvirta, Timo
26
1999
Testing parameter constancy in linear models against stochastic stationary parameters. Zbl 0930.62088
Lin, Chien-Fu Jeff; Teräsvirta, Timo
2
1999
Properties of the autocorrelation function of squared observations for second-order GARCH processes under two sets of parameter constraints. Zbl 0922.62088
He, Changli; Teräsvirta, Timo
2
1999
Testing linearity against nonlinear moving average models. Zbl 0926.62076
Brännäs, Kurt; De Gooijer, Jan G.; Teräsvirta, Timo
1
1998
Testing the adequacy of smooth transition autoregressive models. Zbl 0864.62058
Eitrheim, Øyvind; Teräsvirta, Timo
31
1996
Power properties of linearity tests for time series. Zbl 1078.91574
Teräsvirta, Timo
3
1996
Specification, estimation, and evaluation of smooth transition autoregressive models. Zbl 1254.91686
Teräsvirta, Timo
107
1994
Testing the constancy of regression parameters against continuous structural change. Zbl 0796.62054
Lin, Chien-Fu Jeff; Teräsvirta, Timo
34
1994
Testing linearity and modelling nonlinear time series. Zbl 0809.62084
Teräsvirta, Timo
3
1994
Modelling nonlinear economic relationships. Zbl 0893.90030
Granger, Clive W. J.; Teräsvirta, Timo
142
1993
Testing linearity against smooth transition autoregressive models. Zbl 0657.62109
Luukkonen, Ritva; Saikkonen, Pentti; Teräsvirta, Timo
91
1988
Testing linearity in univariate time series models. Zbl 0666.62089
Luukkonen, Ritva; Saikkonen, Pentti; Teräsvirta, Timo
19
1988
The extended Stein procedure for simultaneous model selection and parameter estimation. Zbl 0617.62053
Judge, George; Yi, Gang; Yancey, Thomas; Teräsvirta, Timo
5
1987
Model selection criteria and model selection tests in regression models. Zbl 0623.62065
Teräsvirta, Timo; Mellin, Ilkka
6
1986
Restricted superiority of linear homogeneous estimators over ordinary least squares. Zbl 0523.62065
Teräsvirta, Timo
1
1983
Superiority comparisons of homogeneous linear estimators. Zbl 0506.62052
Teräsvirta, Timo
5
1982
Some results on improving the least squares estimation of linear models by mixed estimation. Zbl 0448.62055
Teräsvirta, Timo
2
1981
The invertibility of sums of discrete MA and ARMA processes. Zbl 0373.62052
Teräsvirta, Timo
3
1977
On the estimation of dynamic price elasticities with Box-Jenkins methods: A case study. Zbl 0353.62071
Leskinen, Esko; Teräsvirta, Timo
1
1977
A note on bias in the Almon distributed lag estimator. Zbl 0348.62030
Terasvirta, Timo
5
1976
A note on predicting with seemingly unrelated regression equations. Zbl 0318.62058
Teräsvirta, Timo
1
1975
all top 5

Cited by 807 Authors

21 Teräsvirta, Timo
13 Tjøstheim, Dag B.
12 Medeiros, Marcelo C.
9 Horváth, Lajos
9 Kapetanios, George
9 McAleer, Michael
8 Francq, Christian
8 Meitz, Mika
8 Saikkonen, Pentti
7 Chen, Cathy W. S.
7 Fokianos, Konstantinos
7 Franses, Philip Hans
6 Gao, Jiti
6 Linton, Oliver Bruce
6 Thavaneswaran, Aerambamoorthy
6 van Dijk, Dick
6 Zakoïan, Jean-Michel
5 Appadoo, S. S.
5 Hong, Yongmiao
5 Lee, Tae-Hwy
5 Lu, Zudi
5 Wu, Wei Biao
4 Battaglia, Francesco Paolo
4 Boswijk, H. Peter
4 Boutahar, Mohamed
4 Chen, Xiaohong
4 Fan, Yanqin
4 Guégan, Dominique
4 Hillebrand, Eric
4 Kiliç, Rehim
4 Kokoszka, Piotr S.
4 Kruse, Robinson
4 Lütkepohl, Helmut
4 Lux, Thomas
4 Park, Joon Y.
4 Peel, David A.
4 Ruiz, Esther
4 Sibbertsen, Philipp
4 Zhang, Lingxiang
3 Benítez, José Manuel
3 Cai, Zongwu
3 Caporale, Guglielmo Maria
3 Chen, Rong
3 Coakley, Jerry
3 De Gooijer, Jan G.
3 Demos, Antonis
3 Duchesne, Pierre
3 Eklund, Bruno
3 Gerlach, Richard H.
3 Gil-Alana, Luis Alberiko
3 Gourieroux, Christian
3 Granger, Clive William John
3 Hafner, Christian Matthias
3 He, Changli
3 Herwartz, Helmut
3 Hörmann, Siegfried
3 Jasiak, Joann
3 Jawadi, Fredj
3 Koopman, Siem Jan
3 Lee, Sangyeol
3 Leipus, Remigijus
3 Li, Degui
3 Liew, Venus Khim-Sen
3 Liu, Jichun
3 Maki, Daiki
3 Peiris, M. Shelton
3 Protopapas, Mattheos K.
3 Rahbek, Anders
3 Sandberg, Rickard
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
2 Alkhamisi, Mahdi A.
2 An, Hongzhi
2 Anderson, Heather M.
2 Andreou, Elena
2 Asai, Manabu
2 Ashley, Richard A.
2 Aue, Alexander
2 Aznarte, José Luis
2 Baharumshah, Ahmad Zubaidi
2 Baillie, Richard T.
2 Bekiros, Stelios D.
2 Ben Nasr, Adnen
2 Berentsen, Geir Drage
2 Berkes, István
2 Blake, Andrew Peter
2 Blasques, Francisco
2 Borup, Daniel
2 Boubaker, Sabri
2 Brannas, Kurt
2 Candelon, Bertrand
...and 707 more Authors
all top 5

Cited in 103 Serials

113 Journal of Econometrics
36 Econometric Theory
35 Economics Letters
33 Computational Statistics and Data Analysis
29 Journal of Time Series Analysis
27 Journal of Economic Dynamics & Control
17 Statistics & Probability Letters
15 Journal of Statistical Planning and Inference
15 The Econometrics Journal
14 Quantitative Finance
13 Journal of Statistical Computation and Simulation
12 Econometric Reviews
10 Mathematics and Computers in Simulation
10 Communications in Statistics. Theory and Methods
9 The Annals of Statistics
8 Statistical Papers
7 European Journal of Operational Research
6 Journal of Applied Statistics
5 Annals of Operations Research
5 Computational Statistics
5 Computational Economics
5 Open Economies Review
5 Journal of Nonparametric Statistics
5 Statistics and Computing
5 Journal of Time Series Econometrics
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
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 Methods and Applications
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 Statistica Neerlandica
1 Insurance Mathematics & Economics
1 Physica D
1 Statistics
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 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 Journal of the Italian Statistical Society
1 Bulletin of Economic Research
1 Statistics Surveys
1 Science China. Mathematics
1 Journal of Probability and Statistics
1 Sankhyā. Series B
1 Bayesian Analysis
...and 3 more Serials

Citations by Year