← All authors Timo Teräsvirta Aarhus University (per OpenAlex) · ORCID · OpenAlex
106 papers in scope · 104 published · 2 on the econ.EM arXiv · 13,599 citations · h-index 43 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Niklas Ahlgren Alexander Back Stefan Richter Sayar Karmakar Wei Biao Wu Kejin Wu Marek Chudý Donald W. K. Andrews George Kapetanios Likai Chen Georg Keilbar Ming Li George Michailidis Jiahe Lin Liangjun Su Otilia Boldea Jia Chen Chen Jia Degui Li Yiren Wang Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 106)
Stability in Self-Exciting Threshold Autoregressive Models
published 2026 · Studies in Nonlinear Dynamics and Econometrics
with Pu Chen, Willi Semmler
working paper 2025 · arXiv
working paper 2024 · arXiv
Long monthly European temperature series and the North Atlantic Oscillation
published 2023 · Energy Economics · 2 citations
with Changli He, Jian Kang, Annastiina Silvennoinen
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
published 2023 · Journal of Econometrics · 7 citations
with Changli He, Jian Kang, Annastiina Silvennoinen
Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks
published 2023 · Econometrics · 3 citations
with Anthony David Hall, Annastiina Silvennoinen
A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model
published 2022 · Econometrics · 1 citations
with Jian Kang, Johan Stax Jakobsen, Annastiina Silvennoinen, G. Wade
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
published 2022 · Econometric Reviews · 3 citations
Transition from the Taylor rule to the zero lower bound
published 2021 · Studies in Nonlinear Dynamics and Econometrics · 3 citations
with Stan Hurn, Nicholas Johnson, Annastiina Silvennoinen, Hurn Stan
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
published 2021 · Econometrics and Statistics · 13 citations · first circulated 2017
with Annastiina Silvennoinen
Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
published 2021 · Energy Economics · 4 citations
with Changli He, Jian Kang, Shuhua Zhang
Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model
published 2021 · CREATES Research Papers
with Anthony Hall, Annastiina Silvennoinen
no link
Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis
published 2019 · Journal of Econometrics · 12 citations
with Matthew T. Holt
The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016
published 2019 · Econometrics and Statistics · 3 citations
with Changli He, Jian Kang, Shuhua Zhang
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
published 2017 · Econometric Reviews · 12 citations
with Paul Catani, Meiqun Yin
Sir Clive W.J. Granger's Contributions to Nonlinear Time Series and Econometrics
published 2017 · European Journal of Pure and Applied Mathematics
no link
Nonlinear models in macroeconometrics
published 2017 · CREATES Research Papers · 9 citations
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
published 2016 · Studies in Nonlinear Dynamics and Econometrics · 13 citations · first circulated 2015
with Annastiina Silvennoinen
Testing Linearity of Economic Time Series against Cyclical Asymmetry
published 2016 · Annals of Economics and Statistics · 29 citations
with Ritva Luukkonen
no link
Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques
published 2015 · Econometric Reviews · 45 citations · first circulated 2011
A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market
published 2015 · Journal of Applied Econometrics · 22 citations · first circulated 2014
with Stan Hurn, Annastiina Silvennoinen, A. S. Hurn
Specification and testing of multiplicative time-varying GARCH models with applications
published 2014 · Econometric Reviews · 39 citations
with Cristina Amado
Linear Model Selection
published 2014 · Wiley StatsRef: Statistics Reference Online · 1 citations · first circulated 2004
with I. Mellin
Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
published 2014 · Econometric Reviews · 5 citations · first circulated 2012
with Annastiina Silvennoinen
Mathematical and Quantitative Methods: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series
published 2013 · Journal of Economic Literature · 1 citations
Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations
published 2013 · Journal of Business and Economic Statistics · 38 citations
with Cristina Amado
Modelling changes in the unconditional variance of long stock return series
published 2013 · Journal of Empirical Finance · 73 citations · first circulated 2012
with Cristina Amado
Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009
published 2013 · International Journal of Forecasting · 31 citations
Modelling volatility by variance decomposition
published 2013 · Journal of Econometrics · 104 citations · first circulated 2011
with Cristina Amado
Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
published 2013 · Communications in Statistics - Simulation and Computation · 35 citations · first circulated 2008
with Anne Péguin-Feissolle, Birgit Strikholm
Handbook on Empirical Macroeconomics
published 2013 · Edward Elgar Publishing
with Robinson Kruse, Niels Haldrup, Rasmus T. Varneskov
no link
Stylized facts of return series, robust estimates and three popular models of volatility
published 2010 · Applied Financial Economics · 50 citations · first circulated 2007
with Zhenfang Zhao†
Working With Clive Granger: Two Short Memories
published 2010 · Journal of Financial Econometrics
Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
published 2009 · Journal of Financial Econometrics · 158 citations · first circulated 2007
with Annastiina Silvennoinen
Testing for volatility interactions in the Constant Conditional Correlation GARCH model
published 2009 · Econometrics Journal · 116 citations
with Tomoaki Nakatani
Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
published 2008 · Econometric Reviews · 53 citations · first circulated 2005
with Changli He, Andrés González
Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
published 2008 · Finance research letters · 64 citations
with Tomoaki Nakatani
Modelling Autoregressive Processes with a Shifting Mean
published 2008 · Studies in Nonlinear Dynamics and Econometrics · 25 citations · first circulated 2006
with Andrés González, Andrés González-Gómez
Parameterizing Unconditional Skewness in Models for Financial Time Series
published 2007 · Journal of Financial Econometrics · 52 citations · first circulated 2005
with Chao He, Annastiina Silvennoinen, Changli He
Simulation‐based Finite Sample Linearity Test against Smooth Transition Models*
published 2006 · Oxford Bulletin of Economics and Statistics · 43 citations · first circulated 2005
with Andrés González
A sequential procedure for determining the number of regimes in a threshold autoregressive model
published 2006 · Econometrics Journal · 59 citations
with Birgit Strikholm
Testing constancy of the error covariance matrix in vector models
published 2006 · Journal of Econometrics · 11 citations
with Bruno Eklund
Evaluating Models of Autoregressive Conditional Duration
published 2005 · Journal of Business and Economic Statistics · 110 citations · first circulated 2004
Reply
published 2005 · International Journal of Forecasting · 6 citations
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
published 2005 · International Journal of Forecasting · 277 citations
A time series model for an exchange rate in a target zone with applications
published 2005 · Journal of Econometrics · 81 citations · first circulated 2003
with Stefan Lundbergh
Common factors in conditional distributions for bivariate time series
published 2005 · Journal of Econometrics · 60 citations · first circulated 2003
Building neural network models for time series: a statistical approach
published 2005 · Journal of Forecasting · 185 citations
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
published 2004 · Econometric Theory · 112 citations · first circulated 2002
with Changli He
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
published 2003 · Econometrics Journal · 69 citations · first circulated 2001
with Dick van Dijk, Birgit Strikholm
Time-Varying Smooth Transition Autoregressive Models
published 2003 · Journal of Business and Economic Statistics · 219 citations · first circulated 2000
with Stefan Lundbergh, Dick van Dijk
The net barter terms of trade: A smooth transition approach
published 2003 · International Journal of Finance & Economics · 16 citations · first circulated 1999
with Anna Persson
Long memory and nonlinear time series
published 2002 · Journal of Econometrics · 28 citations
with James Davidson
Evaluating GARCH models
published 2002 · Journal of Econometrics · 214 citations · first circulated 1999
with Stefan Lundbergh
MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
published 2002 · Econometric Theory · 105 citations · first circulated 1999
with Changli He, Hans Malmsten
MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
published 2002 · Macroeconomic Dynamics · 223 citations · first circulated 1999
with Joakim Skalin
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
published 2002 · Econometric Reviews · 1189 citations
with Dick van Dijk, Philip Hans Franses
INTRODUCTION TO THE SPECIAL ISSUE: NONLINEAR MODELING OF MULTIVARIATE MACROECONOMIC RELATIONS
published 2001 · Macroeconomic Dynamics · 4 citations
with Philip Hans Franses
A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS
published 2001 · Communication in Statistics-Theory and Methods · 69 citations · first circulated 1999
Non‐linear error correction and the UK demand for broad money, 1878–1993
published 2001 · Journal of Applied Econometrics · 89 citations · first circulated 1998
with Ann-Charlotte Eliasson
FOURTH MOMENT STRUCTURE OF THE GARCH( p , q ) PROCESS
published 1999 · Econometric Theory · 134 citations · first circulated 1997
with Changli He
Investigating stability and linearity of a German M1 money demand function
published 1999 · Journal of Applied Econometrics · 103 citations · first circulated 1995
Properties of moments of a family of GARCH processes
published 1999 · Journal of Econometrics · 281 citations · first circulated 1997
with Changli He
Another look at Swedish business cycles, 1861-1988
published 1999 · Journal of Applied Econometrics · 97 citations · first circulated 1996
with Joakim Skalin
Testing parameter constancy in linear models against stochastic stationary parameters
published 1999 · Journal of Econometrics · 40 citations · first circulated 1995
with Chien-Fu Lin
A simple nonlinear time series model with misleading linear properties
published 1999 · Economics Letters · 208 citations · first circulated 1998
with Clive W. J. Granger
Properties of the Autocorrelation Function of Squared Observations for Second‐order Garch Processes Under Two Sets of Parameter Constraints
published 1999 · Journal of Time Series Analysis · 49 citations · first circulated 1997
with Changli He
Modeling the Demand for M3 in the Unified Germany
published 1998 · The Review of Economics and Statistics · 87 citations · first circulated 1996
Stylized facts of daily return series and the hidden Markov model
published 1998 · Journal of Applied Econometrics · 355 citations · first circulated 1996
with Tobias Rydén, Stefan Åsbrink
Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993”
published 1998 · Scandinavian Journal of Economics · 4 citations
with Svend Hylleberg
Testing linearity against nonlinear moving average models
published 1998 · Communication in Statistics-Theory and Methods · 14 citations · first circulated 1996
with Kurt Brännäs, Jan G. De Gooijer
The International Institute of Forecasters Award for the Best Forecasting Paper
published 1997 · International Journal of Forecasting
TESTING PARAMETER CONSTANCY AND SUPER EXOGENEITY IN ECONOMETRIC EQUATIONS
published 1996 · Oxford Bulletin of Economics and Statistics · 198 citations · first circulated 1995
with Eilev S. Jansen
Testing the adequacy of smooth transition autoregressive models
published 1996 · Journal of Econometrics · 545 citations · first circulated 1995
with Øyvind Eitrheim
Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990–1993
published 1996 · International Journal of Forecasting · 36 citations
with Eija Kauppi, Jukka Lassila
Power Properties of Linearity Tests for Time Series
published 1996 · Studies in Nonlinear Dynamics and Econometrics · 44 citations
Professor Clive W.J. Granger: An interview for the International Journal of Forecasting
published 1995 · International Journal of Forecasting · 2 citations
Modelling Nonlinear Economic Relationships
published 1995 · Southern Economic Journal · 1555 citations · first circulated 1993
with Dennis W. Jansen, Clive W. J. Granger
Modelling Non-Linear Economic Relationships
published 1994 · Scandinavian Journal of Economics · 36 citations
with Kurt Brännäs, Clive W. J. Granger
Testing the constancy of regression parameters against continuous structural change
published 1994 · Journal of Econometrics · 353 citations
with Chien-Fu Lin
The combination of forecasts using changing weights
published 1994 · International Journal of Forecasting · 145 citations
with Melinda Deutsch, Clive W. J. Granger, M. Deutsch
Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
published 1994 · Journal of the American Statistical Association · 2143 citations
Contrastes de linealidad y modelización de series temporales no lineales
published 1994 · Cuadernos Económicos de ICE
no link
Business survey data in forecasting the output of swedish and finnish metal and engineering industries: A kalman filter approach
published 1993 · Journal of Forecasting · 39 citations
with Markku Rahiala
POWER OF THE NEURAL NETWORK LINEARITY TEST
published 1993 · Journal of Time Series Analysis · 379 citations
with Chien-Fu Lin, Clive W. J. Granger
Characterizing nonlinearities in business cycles using smooth transition autoregressive models
published 1992 · Journal of Applied Econometrics · 908 citations
with Heather M. Anderson
Use of preliminary values in forecasting industrial production
published 1990 · International Journal of Forecasting · 5 citations · first circulated 1989
with Jamel Boucelham
A review of PC‐give: A statistical package for econometric modelling
published 1988 · Journal of Applied Econometrics · 6 citations
Formation of firms' production decisions in finnish manufacturing industries
published 1988 · Journal of Applied Econometrics · 6 citations
with Markku Rahiala
Testing linearity against smooth transition autoregressive models
published 1988 · Biometrika · 1340 citations
Testing linearity in univariate, time series models
published 1988 · Scandinavian Journal of Statistics · 147 citations
no link
Superiority comparisons between mixed regression estimators
published 1988 · Communication in Statistics-Theory and Methods · 2 citations
Usefulness of proxy variables in linear models with stochastic regressors
published 1987 · Journal of Econometrics · 9 citations
The extended Stein procedure for simultaneous model selection and parameter estimation
published 1987 · Journal of Econometrics · 8 citations
with George G. Judge, Gang Yi, T.A. Yancey
Superiority comparisons of heterogeneous linear estimators
published 1986 · Communication in Statistics-Theory and Methods · 28 citations
Model selection using business survey data
published 1986 · International Journal of Forecasting · 17 citations
MINK AND MUSKRAT INTERACTION:A STRUCTURAL ANALYSIS
published 1985 · Journal of Time Series Analysis · 7 citations
Modelling the Dynamic Relationship between Wages and Prices in Finland
published 1985 · Scandinavian Journal of Economics · 5 citations
Short‐term forecasting of industrial production by means of quick indicators
published 1984 · Journal of Forecasting · 7 citations
Underestimation of mean square error matrix in misspecified linear models
published 1982 · Journal of Econometrics · 1 citations
Superiority comparisons of homogeneous linear estimators
published 1982 · Communication in Statistics-Theory and Methods · 20 citations
A comparison of mixed and minimax estimators of linear models
published 1981 · Communication in Statistics-Theory and Methods · 8 citations
The polynomial distributed lag revisited
published 1980 · Empirical Economics · 8 citations
A note on the limits of a modified THEIL‐estimator
published 1980 · Biometrical Journal · 1 citations
with H. Toutenbubg
Forecasting the consumption of alcoholic beverages in Finland
published 1976 · European Economic Review · 8 citations
with Esko Leskinen
A Note on Bias in the Almon Distributed Lag Estimator
published 1976 · Econometrica · 16 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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