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 6 7 0 0 2 6
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 252 0 0 0 670
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 1 48 0 1 4 154
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 1 1 3 336
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 1 2 2 68 2 5 5 117
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 961 0 2 4 2,277
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 0 1 1 318
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 1 213 2 3 5 883
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 0 26 26 179
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 1 1 1 135
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 1 16 0 2 8 67
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 1 1 683
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 0 0 6 182
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 0 49 0 0 0 133
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 60 0 0 1 83
Forecasting Realized Volatility by Decomposition 0 0 2 250 0 0 3 566
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 1 2 2 192
GMM Estimation with Noncausal Instruments 0 0 0 46 0 0 0 107
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 1 323 0 2 5 767
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 0 0 0 91
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 1 103 0 1 4 205
Identifying Monetary Policy Shocks via Changes in Volatility 1 1 1 198 2 3 4 428
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 189 0 2 7 373
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 0 0 1 119
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 0 0 1 210
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 1 1 2 652
Modeling Conditional Skewness in Stock Returns 0 1 1 384 0 2 2 1,127
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 0 0 1 128
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 2 3 359
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 5 654
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 35 0 1 3 199
Noncausal Bayesian Vector Autoregression 0 0 0 160 0 0 1 152
Noncausal Vector Autoregression 0 0 1 100 0 1 5 224
Noncausal autoregressions for economic time series 1 2 5 95 5 6 12 285
Noncausal vector autoregression 0 0 1 88 0 1 2 244
Noncausality and Inflation Persistence 0 0 0 57 0 0 0 141
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 1 1 393
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 0 0 2 99
Nonlinear dynamics of interest rate and inflation 0 0 1 64 1 1 3 185
Nonlinear dynamics of interest rate and inflation 0 0 2 367 1 2 6 792
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 2 92 1 2 4 191
Realized volatility and overnight returns 0 0 0 126 0 0 4 303
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 1 1 85
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 0 0 1 432
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 0 1 369
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 1 2 389
Structural Vector Autoregressions with Markov Switching 0 0 1 301 0 1 2 558
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 2 3 397
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 241 1 1 1 650
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 1 1 2 65
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 0 0 0 816 0 0 2 3,626
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 0 2 562
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 0 0 187
Testing for predictability in a noninvertible ARMA model 0 0 0 73 0 0 0 145
Testing the Predictability of Stock Returns 0 0 0 1 0 0 0 609
Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift 0 0 0 19 0 0 2 83
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 0 0 1 377
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 0 0 0 118
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 1 25 1 1 2 141
The effect of a transaction tax on exchange rate volatility 0 0 0 77 0 0 1 293
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 0 1 562
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 0 0 1 674
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 0 168 0 0 1 625
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 0 1 464
Unit root tests in the presence of innovational outliers 0 0 0 58 0 1 3 303
Total Working Papers 3 6 34 8,645 22 83 180 27,123

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 0 0 0 51 0 1 1 200
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 4 168 0 2 7 365
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 2 17 0 0 3 58
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 0 0 2 19
A naïve sticky information model of households' inflation expectations 0 0 0 50 0 1 4 196
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 93 0 0 1 285
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 1 84 0 0 3 259
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 0 1 74
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 0 0 1 44
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 1 2 28
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 0 0 2 56
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 0 0 0 54
Does noncausality help in forecasting economic time series? 0 0 2 72 0 0 8 174
Forecasting realized exchange rate volatility by decomposition 0 0 1 38 0 0 3 218
GMM Estimation of Non-Gaussian Structural Vector Autoregression 1 4 7 25 2 7 19 88
GMM Estimation with Non‐causal Instruments 0 0 0 19 0 2 4 92
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 6 46 2 7 35 201
Has US inflation really become harder to forecast? 0 0 0 12 0 0 1 60
Identification and estimation of non-Gaussian structural vector autoregressions 0 2 8 49 0 6 20 178
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 0 1 9 0 0 2 18
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 3 6 16 549
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 18 1 2 6 44
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 0 3 3 0 3 6 7
Joint modeling of call and put implied volatility 0 0 0 31 0 1 2 143
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 0 0 225
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 6 154
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 83 0 1 8 243
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 0 1 1 175
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 0 2 362 0 4 8 1,901
Near unit roots, cointegration, and the term structure of interest rates 1 1 1 386 1 1 2 959
Non-linear GARCH models for highly persistent volatility 0 0 0 261 3 3 3 734
Noncausal Autoregressions for Economic Time Series 2 3 8 142 9 13 28 345
Noncausal Bayesian Vector Autoregression 0 0 1 4 0 0 2 18
Noncausality and inflation persistence 0 0 0 10 0 0 2 66
Nonlinear dynamics of interest rate and inflation 0 0 1 2 0 1 2 9
Nonlinear dynamics of interest rate and inflation 0 0 1 176 0 1 4 450
Optimal forecasting of noncausal autoregressive time series 1 1 1 56 1 1 2 142
Overnight stock returns and realized volatility 1 1 2 31 1 1 7 169
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 0 0 1 125
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 0 3 100
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 0 0 0 132
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 0 1 4 5 0 4 21 22
Structural Vector Autoregressions With Nonnormal Residuals 0 0 0 75 0 1 1 232
Structural vector autoregressions with Markov switching 1 4 5 403 10 17 28 924
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 0 1 1 42
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 203 0 1 4 552
Testing The Predictability Of Stock Returns 0 0 0 291 0 0 0 676
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 0 24 0 1 1 88
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift 0 0 0 0 0 0 0 4
The effect of a transaction tax on exchange rate volatility 0 0 0 75 0 0 2 249
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 0 1 214
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 45 0 1 2 281
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 0 1 2 2
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 0 1 317
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 1 4 177
Total Journal Articles 7 18 64 4,061 33 95 296 13,137

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 0 2 0 0 0 5
Total Chapters 0 0 0 2 0 0 0 5
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