Timo Teräsvirta

Biographic Data

ID8771114
NAMETimo Teräsvirta
GIVEN NAMESTimo
FAMILY NAMETeräsvirta
SIGNATURETERÄSVIRTA T
AFFILIATIONSStockholm School of Economics
ORCID0000-0002-0947-2114
VERIFIEDYes
TOTAL WORKS7
TOTAL CITATIONS0
WORKS AS AUTHOR7
WORKS AS EDITOR0
FIRST PUBLICATION YEAR1988
LATEST PUBLICATION YEAR2014
H-INDEX0

  • Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations

    Cristina Amado, Timo TeräsvirtaARTICLEJournal of Business and Economic…2014

    In this article, we investigate the effects of careful modeling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end, we allow the individual unconditional variances in conditional correlation generalized autoregressive conditional heteroscedasticity (CC-GARCH) models to change smoothly over time by incorporating a nonstationary component in the variance equations such as the spli…

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

    Open AccessAnne Péguin-Feissolle, Birgit Strikholm et al.ARTICLESSRN Electronic Journal2008

  • Evaluating Models of Autoregressive Conditional Duration

    Mika Meitz, Timo TeräsvirtaARTICLEJournal of Business and Economic…2006

    This article contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are introduced and their properties discussed. New misspecification tests for the ACD class of models are introduced. These are Lagrange multiplier and Lagrange mult…

  • Time-Varying Smooth Transition Autoregressive Models

    Stefan Lundbergh, Timo Teräsvirta et al.ARTICLEJournal of Business and Economic…2003

    Nonlinear regime-switching behavior and structural change are often perceived as competing alternatives to linearity. In this article we study the so-called time-varying smooth transition autoregressive (TV-STAR) model, which can be used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features. Two modeling strategies for empirical specification of TV-STAR models are developed. Monte Carlo …

  • Modeling the Demand for M3 in the Unified Germany

    Jürgen Wolters, Timo Teräsvirta et al.ARTICLEThe Review of Economics and…1998

    An error correction model for the demand for real M3 money is constructed for the period of 1976–1994 with real GNP, the GNP deflator, as well as a short-term and a long-term interest rate as explanatory variables. Quarterly, seasonally unadjusted data are used in estimating the model. It is found that there is a clear structural break due to the German unification in 1990. On the other hand, once this structural break is accounted for, a stable …

  • Modelling Nonlinear Economic Relationships

    Clive W J Granger, Timo TeräsvirtaBOOKModelling Nonlinear Economic…1993

    This volume explains recent theoretical developments in the econometric modelling of relationships between different statistical series. The statistical techniques explored analyse relationships between different variables, over time, such as the relationship between variables in a macroeconomy. Examples from Professor Teräsvirta's empirical work are given. Professors Granger and Teräsvirta are leading exponents of techniques of dynamic, multivar…

  • Testing linearity against smooth transition autoregressive models

    Ritva Luukkonen, Pentti Saikkonen et al.ARTICLEBiometrika1988

    We study a general univariate smooth transition autoregressive, star, model. It contains as a special case the self-exciting threshold autoregressive, setar, model. We present three tests for testing linearity against star models and discuss their properties. The power of the tests in small samples is investigated by simulation when the alternative is the logistic star model. One of the tests is identical to Tsay's (1986) test statistic and is re…