Timo Teräsvirta

Q: What Schools Are Affiliated With Timo Teräsvirta

Timo Teräsvirta is affiliated with the following schools: University of Helsinki, Aarhus University, Queensland University of Technology, Humboldt University of Berlin, University of California, San Diego, Aalto University, University of Copenhagen, Stockholm School of Economics

Timo Teräsvirta's AcademicInfluence.com Rankings

Timo Teräsvirta

Economics

#1743

World Rank

#1999

Historical Rank

Econometrics

#55

World Rank

#57

Historical Rank

economics Degrees

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Economics

Timo Teräsvirta's Degrees

PhD Economics University of Helsinki

Why Is Timo Teräsvirta Influential?

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According to Wikipedia, Timo Teräsvirta is a Finnish economist. He made notable contributions in time series analysis, working with Clive Granger among others. Teräsvirta earned his Ph.D. from the University of Helsinki in 1970, under the supervision of Leo Törnqvist.

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Timo Teräsvirta's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models (1994) (2422)
Modelling Nonlinear Economic Relationships (1995) (1862)
Testing linearity against smooth transition autoregressive models (1988) (1440)
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2000) (1281)
Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models (1992) (943)
Testing the adequacy of smooth transition autoregressive models (1996) (579)
Panel Smooth Transition Regression Models (2005) (535)
Modelling Economic Relationships with Smooth Transition Regressions (1996) (497)
Testing the constancy of regression parameters against continuous structural change (1994) (372)
Stylized Facts of Daily Return Series and the Hidden Markov Model (1998) (365)
POWER OF THE NEURAL NETWORK LINEARITY TEST (1993) (353)
Modelling nonlinear economic time series (2010) (301)
Properties of Moments of a Family of GARCH Processes (1999) (278)
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination (2005) (278)
MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES (1999) (222)
An Introduction to Univariate GARCH Models (2006) (218)
A simple nonlinear time series model with misleading linear properties (1999) (208)
Time-Varying Smooth Transition Autoregressive Models (2003) (205)
Evaluating GARCH models (2002) (191)
Forecasting economic variables with nonlinear models (2005) (185)
Building Neural Network Models for Time Series: A Statistical Approach (2002) (179)
FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS (1999) (152)
The combination of forecasts using changing weights (1994) (151)
Testing Parameter Constancy and Super Exogeneity in Econometric Equations (2009) (144)
Testing linearity in univariate, time series models (1988) (142)
Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer. (2008) (137)
Modelling volatility by variance decomposition (2013) (129)
Evaluating Models of Autoregressive Conditional Duration (2006) (122)
Investigating Stability and Linearity of a German M1 Money Demand Function (1999) (121)
Another look at Swedish business cycles, 1861–1988 (1999) (116)
Applied Time Series Econometrics: Smooth Transition Regression Modeling (2004) (110)
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005) (106)
Aspects of modelling nonlinear time series (1986) (102)
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE (2004) (97)
MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS (2002) (96)
Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model (2009) (94)
Modelling economic high-frequency time series with STAR-STGARCH models (1998) (93)
Modelling changes in the unconditional variance of long stock return series (2012) (90)
THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013) (89)
Stylized Facts of Financial Time Series and Three Popular Models of Volatility (2004) (86)
Model selection criteria and model selection tests in regression models (1986) (79)
Non-linear error correction and the UK demand for broad money, 1878-1993 (2001) (78)
Linearity and misspecification tests for vector smooth transition regression models (2014) (78)
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (2014) (77)
Forecasting with smooth transition autoregressive models (2000) (69)
Common Factors in Conditional Distributions for Bivariate Time Series (2003) (65)
Two Stylized Facts and the Garch (1,1) Model (1996) (64)
Chapter 8 Forecasting economic variables with nonlinear models (2006) (59)
The Effects of Institutional and Technological Change and Business Cycle Fluctuations on Seasonal Patterns in Quarterly Industrial Production Series (2001) (57)
A Time Series Model for an Exchange Rate in a Target Zone with Applications (2006) (57)
Stylized facts of return series, robust estimates and three popular models of volatility (2011) (54)
A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS (2001) (54)
A nonlinear time series model of El Niño (2001) (51)
Modelling nonlinearity in U.S. Gross national product 1889–1987 (1995) (49)
Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations (2014) (48)
Statistical Properties of the Asymmetric Power Arch Process (1997) (47)
Business survey data in forecasting the output of swedish and finnish metal and engineering industries: A kalman filter approach (1993) (47)
Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (2015) (46)
Modelling economic high-frequency time series (1999) (45)
Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models (2008) (43)
A general framework for testing the Granger noncausality hypothesis (1999) (40)
Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques (2016) (39)
Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990–1993☆ (1996) (38)
Modelling Autoregressive Processes with a Shifting Mean (2006) (38)
Specification and testing of multiplicative time-varying GARCH models with applications (2017) (37)
Modeling Nonlinearity over the Business Cycle (1993) (37)
Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form (2008) (36)
A Sequential Procedure for Determining the Number of Regimes in a Threshold Autoregressive Model (2006) (36)
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market (2016) (33)
Models with multiplicative decomposition of conditional variances and correlations (2018) (33)
Long memory and nonlinear time series (2002) (31)
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model (2017) (30)
Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change (2008) (30)
Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009 (2014) (28)
Superiority comparisons of heterogeneous linear estimators (1982) (28)
Unit roots, nonlinearities and structural breaks (2012) (27)
Testing Linearity of Economic Time Series against Cyclical Asymmetry (2016) (26)
Simulation-Based Finite Sample Linearity Test Against Smooth Transition Models (2006) (25)
Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions (2005) (25)
Power Properties of Linearity Tests for Time Series (1996) (25)
Univariate nonlinear time series models (2005) (25)
Some results on improving the least squares estimation of linear models by mixed estimation (1981) (22)
The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016 (2019) (20)
Model selection using business survey data: Forecasting the output of the Finnish metal and engineering industries (1986) (19)
Testing Parameter Constancy in Linear Models against Stochastic Stationary Parameters (1999) (19)
The Invertibility of Sums of Discrete MA and ARMA Processes (1977) (19)
Smooth transition autoregressions , neural networks , and linear models in forecasting macroeconomic time series : A re-examination (2003) (18)
The net barter terms of trade: A smooth transition approach (2003) (18)
Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis (2012) (18)
FORECASTING THE FINNISH CONSUMER PRICE INFLATION USING ARTIFICIAL NEURAL NETWORK MODELS AND THREE AUTOMATED MODEL SELECTION TECHNIQUES (2013) (17)
Nonlinear models for autoregressive conditional heteroskedasticity (2011) (17)
Higher-order dependence in the general Power ARCH process and a special case (2008) (15)
Common Factors in Conditional Distributions (2002) (15)
A Note on Bias in the Almon Distributed Lag Estimator (1976) (14)
Testing constancy of unconditional variance in volatility models by misspecification and specification tests (2015) (14)
Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis (2017) (14)
An application of the analogy between vector ARCH and vector random coefficient autoregressive models (2002) (14)
Testing constancy of the error covariance matrix in vector models (2006) (14)
Testing Linearity against Nonlinear Moving Average Models (1996) (14)
Modelling asymmetries and moving equilibria in unemployment rates by Joakim Skalin and (13)
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model (2017) (13)
Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model (2021) (12)
Sir Clive W.J. Granger's Contributions to Nonlinear Time Series and Econometrics (2017) (10)
Testing linearity and modelling nonlinear time series (1994) (10)
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model (2019) (10)
Modelling and forecasting WIG20 daily returns (2017) (9)
The extended Stein procedure for simultaneous model selection and parameter estimation (1987) (9)
Usefulness of proxy variables in linear models with stochastic regressors (1987) (9)
Smooth Transition Models (1996) (9)
Short‐term forecasting of industrial production by means of quick indicators (1984) (8)
The polynomial distributed lag revisited (1980) (8)
Formation of Firms' Production Decisions in Finnish Manufacturing Industries (1988) (8)
A comparison of mixed and minimax estimators of linear models (1981) (7)
Forecasting the consumption of alcoholic beverages in Finland: A box-Jenkins approach (1976) (7)
A Review of PC-GIVE: A Statistical Package for Econometric Modelling (1988) (7)
Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993” (1998) (7)
Mink And Muskrat Interaction:A Structural Analysis (1985) (6)
Nonlinear Models in Macroeconometrics (2018) (6)
Modelling the Dynamic Relationship between Wages and Prices in Finland (1985) (6)
Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 (2011) (6)
Statistical methods for modelling neural networks (2001) (6)
Use of preliminary values in forecasting industrial production (1990) (5)
Transition from the Taylor rule to the zero lower bound (2018) (5)
Higher-order Dependence in the General Power ARCH Process and the Role of Power Parameter (2008) (4)
Forecasting from nonlinear models (2010) (4)
Unconditional skewness from asymmetry in the conditional mean and variance (2005) (4)
A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model (2022) (4)
Structural Change in Swedish and Finnish Monthly Industrial Output Series (1991) (3)
Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model (2021) (3)
A note on predicting with seemingly unrelated degression equations (1975) (3)
Smoothness in Regression: Asymptotic Considerations (1987) (3)
Models of conditional heteroskedasticity (2010) (2)
Underestimation of mean square error matrix in misspecified linear models (1982) (1)
Nonlinear impulse responses (2010) (1)
Forecasting the Outputof Finnish Forest Industries Using Business Survey Data (1991) (1)
Financial sector and output dynamics in the euro area countries (2013) (1)
How to Use Preliminary Values in Forecasting the Monthly Index of Industrial Production (1989) (1)
Nonparametric specification tests (2010) (1)
Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model (2019) (1)
Superiority comparisons between mixed regression estimators (1988) (1)
A note on the limits of a modified THEIL-estimator (1980) (1)
Labour Hoarding Over the Business Cycle: Testing the Quadratic Adjustment Cost Hypothesis (1989) (1)
The International Institute of Forecasters Award for the Best Forecasting Paper (1997) (0)
Nonlinear and nonstationary models (2010) (0)
Testing linearity against parametric alternatives (2010) (0)
Research Paper 2010-1 Forecasting with nonlinear time series models (2010) (0)
Unit roots , nonlinearities and structural breaks 1 (2012) (0)
Concepts, models, and definitions (2010) (0)
Time‐varying parameters and state space models (2010) (0)
Basic nonparametric estimates (2010) (0)
Sir Clive William John Granger, 1934–2009 (2010) (0)
www.econstor.eu Forecasting economic variables with nonlinear models (2005) (0)
Linear Model Selection (2006) (0)
Research Paper 2011-2 Nonlinear models for autoregressive conditional heteroskedasticity (2011) (0)
Nonlinear models in economic theory (2010) (0)
Estimating Seasonal Regression Models with Smoothly Varying Parameters (1991) (0)
CREATES Research Paper 2010-1 Forecasting with nonlinear time series models (2010) (0)
Handbook on Empirical Macroeconomics (2013) (0)
Algorithms for estimating parametric nonlinear models (2010) (0)
Working With Clive Granger: Two Short Memories (2010) (0)
Error correction in DHSY (2002) (0)
The nonparametric approach (2010) (0)
A smooth transition approach to modelling diurnal variation in models of autoregressive conditional duration (2011) (0)
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model (2022) (0)
Unit roots, structural breaks, and non-linearities (2013) (0)
Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks (2023) (0)
Modelling volatility by multiplicative decomposition of the variance (2011) (0)
Building nonlinear models (2010) (0)
Parametric nonlinear models (2010) (0)
HASHIMZADE 9780857931016 CHS. 1-2 + PRE (M3110).indd (2013) (0)
2 The Double Smooth Transition Conditional Correlation GARCH model 2 . 1 The general multivariate GARCH model (2007) (0)
Finding Starting-Values for the Estimation of (2015) (0)
Professor Clive W.J. Granger: An interview for the International Journal of Forecasting (1995) (0)
www.econstor.eu An Introduction to Univariate GARCH Models (2006) (0)
“ Modelling and forecasting WIG 20 daily returns ” (2017) (0)

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What Schools Are Affiliated With Timo Teräsvirta?

Timo Teräsvirta is affiliated with the following schools:

Timo Teräsvirta's Academic­Influence.com Rankings