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isPartOf:"Journal of forecasting"
subject:"Estimation theory"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~person:"Teräsvirta, Timo"
~subject:"Regressionsanalyse"
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Estimation theory
Regressionsanalyse
Schätztheorie
11
Time series analysis
6
Zeitreihenanalyse
6
ARCH model
5
ARCH-Modell
5
Nichtlineare Regression
4
Nonlinear regression
4
Volatility
4
Volatilität
4
Autocorrelation
3
Autokorrelation
3
Multivariate Analyse
3
Multivariate analysis
3
Statistical test
3
Statistischer Test
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VAR model
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VAR-Modell
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Teräsvirta, Timo
Andrews, Donald W. K.
21
Newey, Whitney K.
16
Nielsen, Morten Ørregaard
15
Johansen, Søren
11
Phillips, Peter C. B.
11
Kristensen, Dennis
9
Horowitz, Joel
8
Imbens, Guido
8
Cattaneo, Matias D.
7
Podolskij, Mark
7
Robinson, Peter M.
7
Jansson, Michael
6
Kruse, Robinson
6
Rahbek, Anders
6
Chen, Xiaohong
5
Chernozhukov, Victor
5
Christensen, Bent Jesper
5
Christensen, Kim
5
Hounyo, Ulrich
5
Lewbel, Arthur
5
MacKinnon, James G.
5
Matzkin, Rosa L.
5
Ploberger, Werner
5
Smith, Richard J.
5
Stock, James H.
5
Varneskov, Rasmus Tangsgaard
5
Vuong, Quang H.
5
Andersen, Torben
4
Bai, Jushan
4
Cavaliere, Giuseppe
4
Chesher, Andrew
4
Dufour, Jean-Marie
4
Gallant, A. Ronald
4
Graham, Bryan S.
4
Hillebrand, Eric
4
Kitamura, Yuichi
4
Lunde, Asger
4
Manski, Charles F.
4
Nelson, Daniel B.
4
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Journal of forecasting
CREATES research paper
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Working paper series in economics and finance
8
Econometric reviews
5
Discussion paper / Tinbergen Institute
4
Journal of econometrics
4
Arbeidsnotat / Norges Bank
3
Arbeidsnotat / Norges Bank / Norges Bank
3
International journal of forecasting
3
Discussion paper / Department of Economics, University of California San Diego
2
Econometrics : open access journal
2
Journal of applied econometrics
2
SSE EFI working paper series in economics and finance
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CEA_372Cass working paper series
1
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1
Elinkeinoelämän Tutkimuslaitos, Keskusteluaiheita
1
Handbook of economic forecasting ; 1
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Keskusteluaiheita / Elinkeinoelämän Tutkimuslaitos
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NCER working paper series
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Nonlinear dynamics and economics : proceedings of the Tenth Internat. Symposium in Economic Theory and Econometrics
1
Oxford bulletin of economics and statistics
1
The econometrics of economic policy
1
Umeå economic studies
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VAR models in macroeconomics - new developments and applications : essays in honor of Christopher A. Sims
1
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1
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ECONIS (ZBW)
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
4
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
5
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
6
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
7
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
8
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010336592
Saved in:
9
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
Saved in:
10
Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10009751844
Saved in:
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