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1

Building neural network models for time series: a statistical approach

Marcelo C. Medeiros, Timo Teräsvirta, Gianluigi Rech

Journal:

Journal of Forecasting

Year:

2006

Language:

english

File:

PDF, 360 KB

english, 2006

2

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

Dijk, Dick van, Teräsvirta, Timo, Franses, Philip Hans

Journal:

Econometric Reviews

Year:

2002

Language:

english

File:

PDF, 461 KB

english, 2002

3

The combination of forecasts using changing weights

Melinda Deutsch, Clive W.J. Granger, Timo Teräsvirta

Journal:

International Journal of Forecasting

Year:

1994

Language:

english

File:

PDF, 901 KB

english, 1994

4

POWER OF THE NEURAL NETWORK LINEARITY TEST

Timo Teräsvirta, Chien-Fu Lin, Clive W. J. Granger

Journal:

Journal of Time Series Analysis

Year:

1993

Language:

english

File:

PDF, 575 KB

english, 1993

5

Sir Clive William John Granger, 1934–2009

Teräsvirta, Timo

Journal:

New Zealand Economic Papers

Year:

2010

Language:

english

File:

PDF, 591 KB

english, 2010

6

Professor Clive W.J. Granger: An interview for the International Journal of Forecasting

Timo Teräsvirta

Journal:

International Journal of Forecasting

Year:

1995

Language:

english

File:

PDF, 434 KB

english, 1995

7

A simple nonlinear time series model with misleading linear properties

Clive W.J. Granger, Timo Teräsvirta

Journal:

Economics Letters

Year:

1999

Language:

english

File:

PDF, 127 KB

english, 1999

8

Modelling Nonlinear Economic Time Series ||

Teräsvirta, Timo, Tjøstheim, Dag, Granger, Clive W. J.

Year:

2010

Language:

english

File:

PDF, 218 KB

english, 2010

9

Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations

Amado, Cristina, Teräsvirta, Timo

Journal:

Journal of Business and Economic Statistics

Year:

2014

Language:

english

File:

PDF, 1.71 MB

english, 2014

10

Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

Timo Terasvirta

Journal:

Journal of the American Statistical Association

Year:

1994

Language:

english

File:

PDF, 1.76 MB

english, 1994

11

Testing Linearity Against Smooth Transition Autoregressive Models

Ritva Luukkonen, Pentti Saikkonen and Timo Teräsvirta

Journal:

Year:

1988

Language:

english

File:

PDF, 998 KB

english, 1988

12

Stylized facts of daily return series and the hidden Markov model

Tobias Rydén, Timo Teräsvirta, Stefan Åsbrink

Journal:

Journal of Applied Econometrics

Year:

1998

Language:

english

File:

PDF, 487 KB

english, 1998

13

A time series model for an exchange rate in a target zone with applications

Stefan Lundbergh, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 478 KB

english, 2006

14

Testing the adequacy of smooth transition autoregressive models

Øyvind Eitrheim, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

1996

Language:

english

File:

PDF, 960 KB

english, 1996

15

Time-Varying Smooth Transition Autoregressive Models

Lundbergh, Stefan, Teräsvirta, Timo, van Dijk, Dick

Journal:

Journal of Business and Economic Statistics

Year:

2003

Language:

english

File:

PDF, 620 KB

english, 2003

16

Time-Varying Smooth Transition Autoregressive Models

Stefan Lundbergh, Timo Teräsvirta and Dick van Dijk

Journal:

Journal of Business and Economic Statistics

Year:

2003

Language:

english

File:

PDF, 624 KB

english, 2003

17

Mathematical and Quantitative Methods: Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series Andrew C. Harvey . Econometric Society Monographs, no. 52 . Cambridge and New York : Cambridge University Press , 2013 . Pp. xviii , 261 . $99.00 . ISBN 978-1-107-03472-3 , cloth; 978-1-107-63002-4 , pbk. JEL 2013–0685

Teräsvirta, Timo

Journal:

Journal of Economic Literature

Year:

2013

Language:

english

File:

PDF, 473 KB

english, 2013

18

Evaluating Models of Autoregressive Conditional Duration

Meitz, Mika, Teräsvirta, Timo

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 464 KB

english, 2006

19

Stylized Facts of Daily Return Series and the Hidden Markov Model

Tobias Rydén, Timo Teräsvirta and Stefan Åsbrink

Journal:

Journal of Applied Econometrics

Year:

1998

Language:

english

File:

PDF, 1.36 MB

english, 1998

20

Another look at Swedish business cycles, 1861–1988

Joakim Skalin, Timo Teräsvirta

Journal:

Journal of Applied Econometrics

Year:

1999

Language:

english

File:

PDF, 242 KB

english, 1999

21

Short-term forecasting of industrial production by means of quick indicators

Timo Teräsvirta

Journal:

Journal of Forecasting

Year:

1984

Language:

english

File:

PDF, 486 KB

english, 1984

22

Testing the constancy of regression parameters against continuous structural change

Chien-Fu Jeff Lin, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

1994

Language:

english

File:

PDF, 984 KB

english, 1994

23

Properties of moments of a family of GARCH processes

Changli He, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

1999

Language:

english

File:

PDF, 164 KB

english, 1999

24

Stylized facts of return series, robust estimates and three popular models of volatility

Teräsvirta, Timo, Zhao†, Zhenfang

Journal:

Applied Financial Economics

Year:

2011

Language:

english

File:

PDF, 6.27 MB

english, 2011

25

Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990–1993

Eija Kauppi, Jukka Lassila, Timo Teräsvirta

Journal:

International Journal of Forecasting

Year:

1996

Language:

english

File:

PDF, 735 KB

english, 1996

26

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination

Timo Teräsvirta, Dick van Dijk, Marcelo C. Medeiros

Journal:

International Journal of Forecasting

Year:

2005

Language:

english

File:

PDF, 209 KB

english, 2005

27

[Handbook of Economic Forecasting] Volume 1 || Chapter 8 Forecasting economic variables with nonlinear models

Teräsvirta, Timo

Year:

2006

Language:

english

File:

PDF, 392 KB

english, 2006

28

Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009

Kock, Anders Bredahl, Teräsvirta, Timo

Journal:

International Journal of Forecasting

Year:

2014

Language:

english

File:

PDF, 798 KB

english, 2014

29

Evaluating Models of Autoregressive Conditional Duration

Mika Meitz and Timo Teräsvirta

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 2.25 MB

english, 2006

30

Testing linearity against nonlinear moving average models

Brännäs, Kurt, De Gooijer, Jan G., Teräsvirta, Timo

Journal:

Communication in Statistics- Theory and Methods

Year:

1998

Language:

english

File:

PDF, 421 KB

english, 1998

31

[Handbook of Econometrics] Volume 4 || Chapter 48 Aspects of modelling nonlinear time series

Teräsvirta, Timo

Year:

1994

Language:

english

File:

PDF, 2.17 MB

english, 1994

32

Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach

Silvennoinen, Annastiina, Teräsvirta, Timo

Journal:

Econometric Reviews

Year:

2015

Language:

english

File:

PDF, 669 KB

english, 2015

33

Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

Teräsvirta, Timo

Journal:

Journal of the American Statistical Association

Year:

1994

Language:

english

File:

PDF, 1.12 MB

english, 1994

34

A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market

Hurn, A. Stan, Silvennoinen, Annastiina, Teräsvirta, Timo

Journal:

Journal of Applied Econometrics

Year:

2016

Language:

english

File:

PDF, 1019 KB

english, 2016

35

A sequential procedure for determining the number of regimes in a threshold autoregressive model

Birgit Strikholm and Timo Teräsvirta

Journal:

The Econometrics Journal

Year:

2006

Language:

english

File:

PDF, 1.77 MB

english, 2006

36

Modelling Nonlinear Economic Time Series || Nonlinear models in economic theory

Teräsvirta, Timo, Tjøstheim, Dag, Granger, Clive W. J.

Year:

2010

Language:

english

File:

PDF, 123 KB

english, 2010

37

Investigating stability and linearity of a German M1 money demand function

Helmut Lütkepohl, Timo Teräsvirta, Jürgen Wolters

Journal:

Journal of Applied Econometrics

Year:

1999

Language:

english

File:

PDF, 202 KB

english, 1999

38

Business survey data in forecasting the output of swedish and finnish metal and engineering industries: A kalman filter approach

Markku Rahiala, Timo Teräsvirta

Journal:

Journal of Forecasting

Year:

1993

Language:

english

File:

PDF, 936 KB

english, 1993

39

The net barter terms of trade: A smooth transition approach

Anna Persson, Timo Teräsvirta

Journal:

International Journal of Finance & Economics

Year:

2003

Language:

english

File:

PDF, 192 KB

english, 2003

40

Non-linear error correction and the UK demand for broad money, 1878–1993

Timo Teräsvirta, Ann-Charlotte Eliasson

Journal:

Journal of Applied Econometrics

Year:

2001

Language:

english

File:

PDF, 120 KB

english, 2001

41

Usefulness of proxy variables in linear models with stochastic regressors

Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

1987

Language:

english

File:

PDF, 292 KB

english, 1987

42

The extended Stein procedure for simultaneous model selection and parameter estimation

George Judge, Gang Yi, Thomas Yancey, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

1987

Language:

english

File:

PDF, 1.05 MB

english, 1987

43

Common factors in conditional distributions for bivariate time series

Clive W.J. Granger, Timo Teräsvirta, Andrew J. Patton

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 220 KB

english, 2006

44

Testing constancy of the error covariance matrix in vector models

Bruno Eklund, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 470 KB

english, 2007

45

Testing parameter constancy in linear models against stochastic stationary parameters

Chien-Fu Jeff Lin, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

1999

Language:

english

File:

PDF, 159 KB

english, 1999

46

Modelling nonlinearity in U.S. Gross national product 1889–1987

Timo Teräsvirta

Journal:

Empirical Economics

Year:

1995

Language:

english

File:

PDF, 1.04 MB

english, 1995

47

Underestimation of mean square error matrix in misspecified linear models

Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

1982

Language:

english

File:

PDF, 172 KB

english, 1982

48

Long memory and nonlinear time series

James Davidson, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

2002

Language:

english

File:

PDF, 78 KB

english, 2002

49

Evaluating GARCH models

Stefan Lundbergh, Timo Teräsvirta

Journal:

Journal of Econometrics

Year:

2002

Language:

english

File:

PDF, 210 KB

english, 2002

50

The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

Dick Van Dijk, Birgit Strikholm, Timo Teräsvirta

Journal:

The Econometrics Journal

Year:

2003

Language:

english

File:

PDF, 877 KB

english, 2003