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Another look at Swedish business cycles, 1861 - 1988

Skalin, Joakim; Teräsvirta, Timo - 1996

Persistent link: https://www.econbiz.de/10000953721

Testing linearity of economic time series against cyclical asymmetry

Luukkonen, Ritva; Teräsvirta, Timo - 1988

Persistent link: https://www.econbiz.de/10000758817

Testing linearity of economic time series against cyclical asymmetry

Luukkonen, Ritva

Persistent link: https://www.econbiz.de/10001277890

Another look at Swedish business cycles, 1861-1988

Skalin, Joakim; Teräsvirta, Timo - In: Journal of applied econometrics 14 (1999) 4, pp. 359-378

Persistent link: https://www.econbiz.de/10001411563

Another Look at Swedish Business Cycles, 1861-1988

Skalin, Joakim; Teräsvirta, Timo - 1998

This paper considers nine long Swedish macroeconomic time series whose business cycle properties were discussed by Englund, Persson, and Svensson (1992) using frequency domain techniques. It is found by testing that all but two of the logarithmed and difference series are non-linear. The...

Persistent link: https://www.econbiz.de/10014221704

Parameterizing unconditional skewness in models for financial time series

He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 208-230

Persistent link: https://www.econbiz.de/10003687850

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...