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A simple nonlinear time series model with misleading linear properties
Granger, Clive W.J.; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1998
This paper shows how a simple univariate stationary nonlinear process has an autocorrelation function suggesting that the underlying process has a long memory, although that is not the case. The conclusion is that just considering linear properties of a process may be misleading.
Persistent link: https://www.econbiz.de/10005649197
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Modelling asymmetries and moving equilibria in unemployment rates
Skalin, Joakim; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1998
transition autoregressive model. The properties of the estimated models, including persistence of the shocks according to them …
Persistent link: https://www.econbiz.de/10005190848
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Stylized facts of return series, robust estimates, and three popular models of volatility
Teräsvirta, Timo (contributor); Zhao, Zhenfang (contributor) - 2007 - Rev. August 1, 2007
Financial return series of sufficiently high frequency display stylized facts such as volatility clustering, high … to evaluate the capacity of volatility models to reproduce these facts, we apply both standard and robust measures of …
Persistent link: https://www.econbiz.de/10003473009
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An introduction to univariate GARCH models
Teräsvirta, Timo (contributor) - 2006
. Stochastic volatility models remain outside this review. -- ARCH ; conditional heteroskedasticity ; GARCH; nonlinear GARCH …; volatility modelling …
Persistent link: https://www.econbiz.de/10003394988
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Stylized facts of financial time series and three popular models of volatility
Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …
Persistent link: https://www.econbiz.de/10002199620
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Properties of the Autocorrelation Function of Squared Observations for Second Order GARCH Processes under Two Sets of Parameter Constraints
He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1997
Nonnegativety constraints on the parameters of the GARCH (p, Q) model may be relaxed without giving up the requirement of the conditional variance remaining non- negative with probability one. This paper looks into the consequences of adopting these less severe constraints in the GARCH (2,2)...
Persistent link: https://www.econbiz.de/10005771161
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Fourth Moment Structure of the GARCH (p, q) Process
He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1997
In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH (p, q) process is given as well as an expression for the moment itself. Furthermore, the autocorrelation function of the centred and squared observations of this process is...
Persistent link: https://www.econbiz.de/10005771164
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Statistical Properties of the Asymmetric Power ARCH Process
He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1997
The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility …
Persistent link: https://www.econbiz.de/10005423779
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...
Persistent link: https://www.econbiz.de/10011605409
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...
Persistent link: https://www.econbiz.de/10009640913