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Nonlinear models in macroeconometrics

Teräsvirta, Timo - 2017

Persistent link: https://www.econbiz.de/10011750305

Sir Clive Granger' s contributions to nonlinear time series and econometrics

Teräsvirta, Timo - 2017

Persistent link: https://www.econbiz.de/10011624071

Special issue on nonlinear modeling of multivariate macroeconomic relations

Franses, Philip Hans (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001625147

Modelling nonlinear economic relationships

Granger, C. W. J. - 1993

Persistent link: https://www.econbiz.de/10000347240

Nonlinear econometric modeling in time series : proceedings of the Eleventh International Symposium in Economic Theory

Barnett, William A. (ed.); Hendry, David F. (ed.); … - International Symposium in Economic Theory and … - 2000

Persistent link: https://www.econbiz.de/10013493885

Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH model

Silvennoinen, Annastiina; Teräsvirta, Timo - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 373-411

Persistent link: https://www.econbiz.de/10003907524

Essays in nonlinear time series econometrics

Haldrup, Niels (ed.) - 2014 - 1. ed.

Persistent link: https://www.econbiz.de/10010382231

Forecasting performances of three automated modelling techniques during the economic crisis : 2007 - 2009

Kock, Anders Bredahl; Teräsvirta, Timo - In: International journal of forecasting 30 (2014) 3, pp. 616-631

Persistent link: https://www.econbiz.de/10010514786

Modelling multivariate autoregressive conditional heteroskedasticity with double smooth transition conditional correlation GARCH model

Silvennoinen, Annastiina (contributor); … - 2007

In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Teräsvirta (2005) by including...

Persistent link: https://www.econbiz.de/10003411196

Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

Silvennoinen, Annastiina - 2010

In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Teräsvirta (2005)...

Persistent link: https://www.econbiz.de/10013150666