Browsing by Author "Terasvirta Timo"

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Browsing by Author "Terasvirta Timo"

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  • Multivariate GARCH Models 
    Silvennoinen Annastiina; Terasvirta Timo (Springer, 2009)
    This article contains a review of multivariate GARCH models. Most common GARCH models are presented and their properties considered. This also includes nonpararnetric and semi parametric models. Existing specification and ...
  • A Nonlinear Time Series Model of El Nino 
    Hall Anthony; Terasvirta Timo; Skalin Joakim (Elsevier Science, 2004)
  • Parameterizing unconditional skewness in models for Financial Time Series 
    He Changli; Silvennoinen Annastiina; Terasvirta Timo (Oxford University Press, 2008)
    In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to ...