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Timo Teräsvirta

Timo Teräsvirta

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Economics and Finance
Denmark
2026

D-Index & Metrics

Economics and Finance

D-Index
59
Citations
26970
World Ranking
848
National Ranking
3

Research.com Recognitions

  • 2026 - Research.com Economics and Finance in Denmark Leader Award
  • 2025 - Research.com Economics and Finance in Denmark Leader Award
  • 2024 - Research.com Economics and Finance in Denmark Leader Award
  • 2023 - Research.com Economics and Finance in Denmark Leader Award
  • 2022 - Research.com Economics and Finance in Denmark Leader Award

Overview

Timo Teräsvirta is a researcher affiliated with Aarhus University in Denmark. Their work spans multiple topics within the fields of economics, econometrics, finance, and environmental science, with a particular focus on the intersection of climate variability and financial modeling.

The main fields of study in which Teräsvirta has contributed include:

  • Economics, Econometrics and Finance
  • Environmental Science

Their research covers several subfields, such as:

  • Global and Planetary Change
  • Economics and Econometrics
  • Atmospheric Science
  • General Economics, Econometrics and Finance
  • Finance

Key topics addressed in Teräsvirta's academic work are:

  • Market Dynamics and Volatility
  • Climate variability and models
  • Financial Risk and Volatility Modeling
  • Hydrology and Drought Analysis
  • Monetary Policy and Economic Impact
  • Meteorological Phenomena and Simulations
  • Complex Systems and Time Series Analysis

Teräsvirta's recent publications demonstrate a focus on advanced econometric and statistical modeling techniques related to time-varying volatility and climate data analysis. Selected recent papers include:

  • Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model (2021), published in Econometrics and Statistics
  • Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model (2023), Journal of Econometrics
  • Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks (2023), Econometrics
  • Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model (2021), Energy Economics
  • Long monthly European temperature series and the North Atlantic Oscillation (2023), Energy Economics

Frequent collaborators with Teräsvirta include:

  • Annastiina Silvennoinen
  • Changli He
  • Jian Kang
  • Anthony David Hall
  • Shuhua Zhang

The venues where Teräsvirta commonly publishes their work include:

  • Econometrics
  • Energy Economics
  • arXiv (Cornell University)
  • Econometrics and Statistics
  • Journal of Econometrics

Best Publications

  • Modelling Non-Linear Economic Relationships

    Clive Granger;Timo Teräsvirta

  • Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

    Timo Teräsvirta

  • Modelling nonlinear economic relationships

    C. W. J. Granger;Timo Teräsvirta

  • Testing linearity against smooth transition autoregressive models

    Ritva Luukkonen;Pentti Saikkonen;Timo Teräsvirta

  • SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

    Dick van Dijk;Timo Teräsvirta;Philip Hans Franses

  • Characterizing nonlinearities in business cycles using smooth transition autoregressive models

    T. Terasvirta;H. M. Anderson

  • Multivariate GARCH models

    Annastiina Silvennoinen;Timo Teräsvirta

  • Panel Smooth Transition Regression Models

    A. Gonzalez;T. Teräsvirta;D. van Dijk;Yukai Yang

  • Modelling Economic Relationships with Smooth Transition Regressions

    Timo Teräsvirta

  • Testing the adequacy of smooth transition autoregressive models

    Øyvind Eitrheim;Timo Teräsvirta;Timo Teräsvirta

  • Panel Smooth Transition Regression Models

    Andrés González;Timo Teräsvirta;Dick van Dijk;Yukai Yang

  • Modelling nonlinear economic time series

    Timo Teräsvirta;Dag Tjøstheim;Clive W. J. Granger

  • Stylized facts of daily return series and the hidden Markov model

    Tobias Rydén;Timo Teräsvirta;Stefan Åsbrink

  • Testing the constancy of regression parameters against continuous structural change

    Chien-Fu Jeff Lin;Timo Teräsvirta

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

    Timo Teräsvirta;Dick van Dijk;Marcelo C. Medeiros

  • Properties of moments of a family of GARCH processes

    Changli He;Timo Teräsvirta

  • Evaluating GARCH models

    Stefan Lundbergh;Timo Teräsvirta

  • A simple nonlinear time series model with misleading linear properties

    Clive W.J. Granger;Timo Teräsvirta

  • Time-Varying Smooth Transition Autoregressive Models

    Stefan Lundbergh;Timo Teräsvirta;Dick van Dijk

  • Forecasting economic variables with nonlinear models

    Timo Teräsvirta

  • Modelling Nonlinear Economic Relationships.

    Sandra McKenzie;C. W. J. Granger;T. Terasvirta

Frequent Co-Authors

Clive W. J. Granger
Clive W. J. Granger University of California, San Diego
Dick van Dijk
Dick van Dijk Erasmus University Rotterdam
Helmut Lütkepohl
Helmut Lütkepohl Freie Universität Berlin
Philip Hans Franses
Philip Hans Franses Erasmus University Rotterdam
Andrew J. Patton
Andrew J. Patton Duke University
George G. Judge
George G. Judge University of California, Berkeley

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