Access Statistics for Markku Lanne

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Mixture Multiplicative Error Model for Realized Volatility 3 8 52 182 6 23 123 426
A Naïve Sticky Information Model of Households’ Inflation Expectations 2 7 22 34 8 29 96 111
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 14 56 169 581 27 111 367 1,241
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 1 3 33 58 5 16 85 95
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 5 12 41 68 16 40 137 176
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 98 5 13 45 474
Forecasting Realized Volatility by Decomposition 3 8 32 166 5 14 80 374
Identifying Monetary Policy Shocks via Changes in Volatility 0 3 15 65 1 10 53 150
Identifying Monetary Policy Shocks via Changes in Volatility 1 1 12 60 2 5 25 122
Joint Modeling of Call and Put Implied Volatility 0 6 19 48 10 39 126 177
Modeling Conditional Skewness in Stock Returns 3 23 72 272 18 58 233 735
Modeling Expectations with Noncausal Autoregressions 0 0 12 30 4 5 34 38
Modeling Expectations with Noncausal Autoregressions 1 4 18 47 2 11 44 68
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 20 1 6 18 648
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 9 37 529
Nonlinear GARCH Models for Highly Persistent Volatility 0 0 0 69 6 19 39 265
Nonlinear dynamics of interest rate and inflation 0 1 9 25 0 3 32 83
Nonlinear dynamics of interest rate and inflation 5 14 34 233 9 27 79 467
Reducing Size Distortions of Parametric Stationarity Tests 0 0 0 4 0 1 6 590
Robustness of the Risk-Return Relationship in the U.S. Stock Market 1 6 21 86 4 17 81 193
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 6 13 68 68 15 33 111 111
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 1 13 35 35 3 24 85 85
Structural Vector Autoregressions with Markov Switching 9 26 59 59 12 51 66 66
Structural Vector Autoregressions with Nonnormal Residuals 2 6 23 116 5 13 57 261
Structural Vector Autoregressions with Nonnormal Residuals 1 6 18 81 2 15 35 173
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 5 26 75 645 23 106 353 2,565
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 69 2 12 38 498
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift 1 1 8 12 1 4 23 173
Testing the Predictability of Stock Returns 0 0 0 1 6 17 58 457
The Effect of a Transaction Tax on Exchange Rate Volatility 1 1 11 43 3 7 59 225
The Properties of Market-Based and Survey Forecasts for Different Data Releases 1 1 3 16 2 2 24 48
The effect of a transaction tax on exchange rate volatility 1 1 6 33 1 3 33 128
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 2 10 25 421
Trading Nokia: The roles of the Helsinki vs the New York stock exchanges 0 0 10 26 3 19 120 284
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 3 14 39 82 7 35 126 303
Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals 0 0 0 94 2 13 34 532
Unit Root Tests in the Presence of Innovational Outliers 0 0 0 43 3 9 40 360
Total Working Papers 70 260 916 3,569 223 829 3,027 13,652

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Mixture Multiplicative Error Model for Realized Volatility 3 3 11 32 4 8 32 91
A Multivariate Generalized Orthogonal Factor GARCH Model 2 5 30 90 4 11 66 178
Forecasting realized exchange rate volatility by decomposition 0 2 4 14 2 7 28 54
Identifying Monetary Policy Shocks via Changes in Volatility 1 5 16 16 1 9 41 41
Joint modeling of call and put implied volatility 1 4 4 4 4 8 8 8
Modeling Conditional Skewness in Stock Returns 1 4 12 23 5 14 63 88
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 3 7 31 66
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 3 20 0 1 8 132
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 0 19 308 2 8 55 1,736
Near unit roots, cointegration, and the term structure of interest rates 2 7 33 306 4 13 65 746
Non-linear GARCH models for highly persistent volatility 3 10 29 162 6 20 79 406
Nonlinear dynamics of interest rate and inflation 1 4 27 105 4 16 79 262
Reducing size distortions of parametric stationarity tests 0 0 2 15 0 1 7 71
Robustness of the risk-return relationship in the U.S. stock market 1 2 8 8 1 9 43 43
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 1 7 18 138 3 14 39 374
Testing The Predictability Of Stock Returns 0 0 18 204 0 1 29 454
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift 1 1 7 18 2 3 16 65
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 4 9 134
Unit root tests for time series with level shifts: a comparison of different proposals 0 3 13 80 0 7 23 147
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 2 3 12 31 2 5 18 49
Total Journal Articles 19 60 266 1,574 48 166 739 5,145

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Statistics updated 2009-07-03