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Timo Teräsvirta

Global rank #1343 98%

Institution: Aarhus Universitet

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 1976

Most Recent: 2024

RePEc ID: pte1 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 1.51 0.00 0.00 3.02
Last 10 Years 0.00 2.51 0.67 0.00 5.70
All Time 0.00 18.43 15.42 0.00 52.79

Publication Statistics

Raw Publications 36
Coauthorship-Adjusted Count 35.00

Publications (36)

Year Article Journal Tier Authors
2024 Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model Journal of Econometrics A 4
2023 Long monthly European temperature series and the North Atlantic Oscillation Energy Economics A 4
2021 Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model Energy Economics A 4
2020 Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis Journal of Econometrics A 2
2016 A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market Journal of Applied Econometrics B 3
2014 Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations Journal of Business & Economic Statistics A 2
2014 Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009 International Journal of Forecasting B 2
2013 Modelling volatility by variance decomposition Journal of Econometrics A 2
2007 Testing constancy of the error covariance matrix in vector models Journal of Econometrics A 2
2006 Simulation‐based Finite Sample Linearity Test against Smooth Transition Models* Oxford Bulletin of Economics and Statistics B 2
2006 Common factors in conditional distributions for bivariate time series Journal of Econometrics A 3
2006 A time series model for an exchange rate in a target zone with applications Journal of Econometrics A 2
2005 Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination International Journal of Forecasting B 3
2005 Reply International Journal of Forecasting B 3
2004 AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE Econometric Theory B 2
2002 Long memory and nonlinear time series Journal of Econometrics A 2
2002 MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS Econometric Theory B 3
2002 Evaluating GARCH models Journal of Econometrics A 2
1999 A simple nonlinear time series model with misleading linear properties Economics Letters C 2
1999 FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS Econometric Theory B 2
1999 Testing parameter constancy in linear models against stochastic stationary parameters Journal of Econometrics A 2
1999 Properties of moments of a family of GARCH processes Journal of Econometrics A 2
1998 Modeling The Demand For M3 In The Unified Germany Review of Economics and Statistics A 3
1998 Comments on N. R. Ericsson, D. F. Hendry and K.M. Prestwich, “The Demand for Broad Money in the United Kingdom, 1878–1993” Scandanavian Journal of Economics B 2
1997 The International Institute of Forecasters Award for the Best Forecasting Paper International Journal of Forecasting B 1
1996 Testing the adequacy of smooth transition autoregressive models Journal of Econometrics A 2
1996 Testing Parameter Constancy and Super Exogeneity in Econometric Equations. Oxford Bulletin of Economics and Statistics B 2
1996 Short-term forecasting of industrial production with business survey data: experience from Finland's great depression 1990-1993 International Journal of Forecasting B 3
1995 Professor Clive W.J. Granger: An interview for the International Journal of Forecasting International Journal of Forecasting B 1
1994 The combination of forecasts using changing weights International Journal of Forecasting B 3
1994 Testing the constancy of regression parameters against continuous structural change Journal of Econometrics A 2
1990 Use of preliminary values in forecasting industrial production International Journal of Forecasting B 2
1987 The extended Stein procedure for simultaneous model selection and parameter estimation Journal of Econometrics A 4
1987 Usefulness of proxy variables in linear models with stochastic regressors Journal of Econometrics A 1
1982 Underestimation of mean square error matrix in misspecified linear models Journal of Econometrics A 1
1976 Forecasting the consumption of alcoholic beverages in Finland : A box-Jenkins approach European Economic Review B 2