Access Statistics for Markku Lanne

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks 0 0 0 7 1 1 14 20
A Mixture Multiplicative Error Model for Realized Volatility 0 0 1 253 1 8 19 689
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 48 1 3 18 172
A Naïve Sticky Information Model of Households’ Inflation Expectations 1 1 1 81 3 9 13 349
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 0 68 3 4 10 127
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 1 1 6 2,283
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 1 2 11 329
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 213 10 23 37 920
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 2 3 10 189
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 2 7 22 157
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 3 5 18 85
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 5 15 698
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 1 5 18 200
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 1 50 3 4 15 148
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 60 1 1 6 89
Forecasting Realized Volatility by Decomposition 0 0 1 251 1 4 17 583
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 1 2 14 206
GMM Estimation with Noncausal Instruments 0 0 0 46 1 8 19 126
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 1 1 1 324 7 11 33 800
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 0 4 14 105
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 2 3 14 219
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 198 5 6 21 449
Identifying Monetary Policy Shocks via Changes in Volatility 1 1 1 190 6 7 21 394
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 1 8 16 135
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 4 10 17 227
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 4 12 22 674
Modeling Conditional Skewness in Stock Returns 0 0 0 384 3 3 9 1,136
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 2 10 138
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 3 3 9 368
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 3 12 666
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 0 6 205
Noncausal Bayesian Vector Autoregression 0 0 0 160 3 6 11 163
Noncausal Vector Autoregression 0 0 1 101 3 11 26 250
Noncausal autoregressions for economic time series 0 1 4 99 3 10 28 313
Noncausal vector autoregression 1 1 1 89 2 4 12 256
Noncausality and Inflation Persistence 0 0 0 57 3 6 14 155
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 3 3 7 400
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 0 2 9 108
Nonlinear dynamics of interest rate and inflation 0 0 0 64 0 0 4 189
Nonlinear dynamics of interest rate and inflation 0 0 2 369 3 3 13 805
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 3 6 13 204
Realized volatility and overnight returns 0 0 0 126 2 5 13 316
Reducing size distortions of parametric stationarity tests 0 0 0 8 1 1 7 92
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 2 4 13 445
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 3 5 17 406
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 1 7 13 382
Structural Vector Autoregressions with Markov Switching 0 0 3 304 1 1 13 571
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 4 5 12 409
Structural Vector Autoregressions with Nonnormal Residuals 0 1 2 243 0 5 22 672
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 2 2 12 77
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 0 0 0 816 2 7 15 3,641
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 4 6 15 577
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 3 6 10 197
Testing for predictability in a noninvertible ARMA model 0 0 1 74 3 4 16 161
Testing the Predictability of Stock Returns 0 0 0 1 2 4 10 619
Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift 0 0 0 19 1 4 5 88
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 2 3 13 390
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 0 4 13 131
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 25 3 3 8 149
The effect of a transaction tax on exchange rate volatility 0 0 0 77 5 9 14 307
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 6 18 580
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 1 3 11 685
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 1 169 1 3 11 636
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 1 3 14 478
Unit root tests in the presence of innovational outliers 1 1 2 60 1 4 16 319
Total Working Papers 5 7 24 8,669 144 322 934 28,057

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks 0 0 0 0 2 2 14 14
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 51 1 2 11 211
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 2 170 1 3 15 380
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 0 17 0 5 10 68
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 5 6 10 29
A naïve sticky information model of households' inflation expectations 0 0 0 50 3 8 22 218
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 93 7 17 30 315
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 0 84 1 3 9 268
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 1 3 12 86
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 0 1 5 49
Comparison of unit root tests for time series with level shifts 0 0 0 5 1 2 13 41
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 0 1 6 62
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 0 2 9 63
Does noncausality help in forecasting economic time series? 0 0 2 74 2 9 19 193
Forecasting realized exchange rate volatility by decomposition 0 0 0 38 1 5 10 228
GMM Estimation of Non-Gaussian Structural Vector Autoregression 0 0 4 29 1 7 24 112
GMM Estimation with Non‐causal Instruments 0 0 1 20 4 6 13 105
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 3 49 6 14 45 246
Has US inflation really become harder to forecast? 0 0 0 12 2 2 9 69
Identification and estimation of non-Gaussian structural vector autoregressions 1 1 7 56 5 11 38 216
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 0 1 10 1 3 14 32
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 3 4 14 58
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 7 12 21 570
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 0 1 4 1 1 6 13
Joint modeling of call and put implied volatility 0 0 0 31 1 3 10 153
Modeling Conditional Skewness in Stock Returns 0 0 0 56 2 5 15 240
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 12 166
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 0 11 19 262
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 3 3 11 186
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 0 1 363 0 4 23 1,924
Near unit roots, cointegration, and the term structure of interest rates 0 0 1 387 5 6 11 970
Non-linear GARCH models for highly persistent volatility 0 0 0 261 1 3 10 744
Noncausal Autoregressions for Economic Time Series 1 4 14 156 2 13 42 387
Noncausal Bayesian Vector Autoregression 0 0 1 5 3 5 18 36
Noncausality and inflation persistence 0 0 0 10 0 1 10 76
Nonlinear dynamics of interest rate and inflation 0 0 0 176 5 7 16 466
Nonlinear dynamics of interest rate and inflation 0 0 0 2 2 2 13 22
Optimal forecasting of noncausal autoregressive time series 0 0 0 56 3 7 15 157
Overnight stock returns and realized volatility 1 2 3 34 5 9 37 206
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 2 10 19 144
Reducing size distortions of parametric stationarity tests 0 0 0 21 2 2 10 110
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 2 3 12 144
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 0 0 5 10 1 4 19 41
Structural Vector Autoregressions With Nonnormal Residuals 0 0 1 76 1 5 15 247
Structural vector autoregressions with Markov switching 1 2 7 410 5 14 54 978
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 6 6 15 57
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 3 16 568
Testing The Predictability Of Stock Returns 0 0 0 291 1 1 5 681
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 25 2 3 17 105
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift 0 0 0 0 1 2 4 8
The effect of a transaction tax on exchange rate volatility 0 0 0 75 0 1 5 254
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 1 10 224
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 1 2 12 14
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 4 15 332
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 4 4 8 185
Total Journal Articles 4 9 58 4,074 117 275 877 13,733
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Statistical Identification of Economic Shocks by Signs in Structural Vector Autoregression 0 0 1 3 0 2 6 11
Total Chapters 0 0 1 3 0 2 6 11
1 registered items for which data could not be found
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