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Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika; Saikkonen, Pentti - In: Econometric theory 27 (2011) 6, pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
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Optimal forecasting of noncausal autoregressive time series
Lanne, Markku; Luoto, Jani; Saikkonen, Pentti - In: International journal of forecasting 28 (2012) 3, pp. 623-631
Persistent link: https://www.econbiz.de/10009659890
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Noncausal autoregressions for economic time series
Lanne, Markku; Saikkonen, Pentti - In: Journal of time series econometrics 3 (2011) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10009623566
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Modeling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku; Saikkonen, Pentti - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 96-125
Persistent link: https://www.econbiz.de/10002220969
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Nob-linear GARCH models for highly persistent volatility
Lanne, Markku; Saikkonen, Pentti - In: The econometrics journal 8 (2005) 2, pp. 251-276
Persistent link: https://www.econbiz.de/10003018967
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Cointegrating smooth transition regressions
Saikkonen, Pentti; Choi, In - In: Econometric theory 20 (2004) 2, pp. 301-340
Persistent link: https://www.econbiz.de/10001987871
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Testing linearity in cointegrating transition regressions
Choi, In; Saikkonen, Pentti - In: The econometrics journal 7 (2004) 2, pp. 341-365
Persistent link: https://www.econbiz.de/10002463466
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Testing for a unit root in a time series with a level shift at unknown time
Saikkonen, Pentti; Lütkepohl, Helmut - In: Econometric theory 18 (2002) 2, pp. 313-348
Persistent link: https://www.econbiz.de/10001661298
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Vector autoregressive processes with nonlinear time trends in cointegrating relations
Ripatti, Antti; Saikkonen, Pentti - In: Macroeconomic dynamics 5 (2001) 4, pp. 577-597
Persistent link: https://www.econbiz.de/10001625171
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Testing for unit roots in time series with level shifts
Saikkonen, Pentti; Lütkepohl, Helmut - In: Allgemeines statistisches Archiv : AStA ; journal of … 85 (2001) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001555592