Time Series Econometrics

Econometric research has a long tradition in the University of Helsinki initiated by the first Professor of Statistics Leo Törnqvist. Since the 1990s modern methods of modelling nonstationary trending time series has been the focus of the Research Group of Time Series Econometrics. The recent research has been concerned with theoretical and applied aspects of nonlinear and non-Gaussian time series relevant e.g. in the analysis of financial time series.

The group is closely connected with the Research Group of Financial and Macroeconometrics at the Department of Political and Economic Studies. The two research groups have a joint seminar which provides a platform for discussing current research in theoretical and applied time series econometrics.

People

Pekka Pere

Pentti Saikkonen

Collaborators

Leena Kalliovirta

Markku Lanne

Jani Luoto

Mika Meitz

Henri Nyberg

Publications

Publications of the group can be found at the home page of the Research Group of Financial and Macroeconometrics and from the members' and collaborators’ home pages.

Associated links

Econometrics pages (in Finnish)