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Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure

Amado, Cristina (contributor); Teräsvirta, Timo (contributor) - 2008

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...

Persistent link: https://www.econbiz.de/10003618525

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Nakatani, Tomoaki (contributor); … - 2007

In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev...

Persistent link: https://www.econbiz.de/10003576679

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

Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 755-774

Persistent link: https://www.econbiz.de/10003150707

Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Novales, Alfonso - In: International journal of forecasting 21 (2005) 4, pp. 775-780

Persistent link: https://www.econbiz.de/10003150708

Reply: [Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination]

Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 781-783

Persistent link: https://www.econbiz.de/10003150710

Parameterizing unconditional skewness in models for financial time series

He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - 2005

Persistent link: https://www.econbiz.de/10003253604

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Nakatani, Tomoaki; Teräsvirta, Timo - In: Finance research letters 5 (2008) 2, pp. 88-95

Persistent link: https://www.econbiz.de/10003751298

Modelling nonlinear economic relationships

Granger, Clive W. J.; Teräsvirta, Timo - 1993

Persistent link: https://www.econbiz.de/10004158775

Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model

He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821325

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