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Stylized facts of return series, robust estimates and three popular models of volatility
Teräsvirta, Timo; Zhao, Zhenfang - In: Applied financial economics 21 (2011) 1/3, pp. 67-94
Persistent link: https://www.econbiz.de/10009124669
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Nonlinear models in macroeconometrics
Teräsvirta, Timo - 2017
Persistent link: https://www.econbiz.de/10011750305
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Fourth moment structure of the GARCH (p, q) process
He, Changli; Teräsvirta, Timo - 1997
Persistent link: https://www.econbiz.de/10000960148
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Properties of moments of a family of GARCH processes
He, Changli; Teräsvirta, Timo - 1997
Persistent link: https://www.econbiz.de/10000971355
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Statistical properties of the asymmetric power ARCH process
He, Changli; Teräsvirta, Timo - 1997
Persistent link: https://www.econbiz.de/10000971492
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Properties of moments of a family of GARCH processes
He, Changli; Teräsvirta, Timo - In: Journal of econometrics 92 (1999) 1, pp. 173-192
Persistent link: https://www.econbiz.de/10001400095
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Higher-order dependence in the general power arch process and a special case
He, Changli; Teräsvirta, Timo - 1999
Persistent link: https://www.econbiz.de/10001393098
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Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric reviews 34 (2015) 1/5, pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
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Modelling economic high-frequency time series
Lundbergh, Stefan; Teräsvirta, Timo - 1999
In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests...
Persistent link: https://www.econbiz.de/10011300552
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Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina; Teräsvirta, Timo - 2013
Persistent link: https://www.econbiz.de/10010440898