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 Mixture Multiplicative Error Model for Realized Volatility 0 0 0 252 0 0 1 669
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 46 0 0 3 147
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 0 1 2 331
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 1 66 0 0 1 110
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 958 1 1 4 2,267
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 1 157 0 0 3 312
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 1 3 210 1 4 15 868
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 0 0 0 150
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 54 1 1 1 131
Comparison of Unit Root Tests for Time Series with Level Shifts 1 1 2 14 2 3 6 53
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 0 2 682
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 1 1 3 104 2 3 10 165
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 0 47 0 0 1 129
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 58 0 0 0 77
Forecasting Realized Volatility by Decomposition 0 0 1 248 0 0 2 562
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 0 0 0 189
GMM Estimation with Noncausal Instruments 0 0 1 46 0 1 4 101
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 1 1 6 309 1 3 22 726
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 0 0 2 90
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 1 100 0 1 4 196
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 197 0 0 0 419
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 2 181 0 0 2 358
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 14 1 1 4 116
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 140 0 0 3 204
Joint Modeling of Call and Put Implied Volatility 0 0 2 133 0 0 5 648
Modeling Conditional Skewness in Stock Returns 0 0 1 382 0 0 2 1,121
Modeling Expectations with Noncausal Autoregressions 0 0 0 49 0 0 0 123
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 0 1 355
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 1 649
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 0 34 0 0 1 196
Noncausal Bayesian Vector Autoregression 0 1 1 158 0 1 3 148
Noncausal Vector Autoregression 0 0 0 97 1 1 6 211
Noncausal autoregressions for economic time series 0 1 4 88 0 3 11 267
Noncausal vector autoregression 0 0 0 87 1 1 3 237
Noncausality and Inflation Persistence 0 0 1 57 0 1 4 136
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 0 1 388
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 1 1 6 94
Nonlinear dynamics of interest rate and inflation 0 0 0 62 0 0 2 177
Nonlinear dynamics of interest rate and inflation 0 0 2 360 0 0 8 776
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 88 0 0 2 183
Realized volatility and overnight returns 0 0 1 125 1 1 4 295
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 0 2 84
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 0 0 0 428
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 0 3 385
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 1 1 367
Structural Vector Autoregressions with Markov Switching 0 1 5 293 0 1 8 545
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 0 4 393
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 239 0 0 2 644
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 0 62
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 0 0 2 816 1 1 4 3,623
Test procedures for unit roots in time series with level shifts at unknown time 0 1 1 119 0 2 6 559
Testing for Predictability in a Noninvertible ARMA Model 0 0 1 47 0 0 5 185
Testing for predictability in a noninvertible ARMA model 0 0 1 73 0 0 3 144
Testing the Predictability of Stock Returns 0 0 0 1 0 1 2 605
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 0 81
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 0 0 0 376
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 0 0 1 118
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 24 0 0 2 137
The effect of a transaction tax on exchange rate volatility 0 0 0 76 0 0 0 290
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 0 4 557
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 1 1 42 0 2 11 668
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 0 166 0 0 0 622
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 0 0 463
Unit root tests in the presence of innovational outliers 0 1 1 58 0 1 1 300
Total Working Papers 3 11 46 8,537 14 37 211 26,692

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 0 1 197
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 2 163 0 2 4 351
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 2 12 0 1 6 47
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 0 0 0 15
A naïve sticky information model of households' inflation expectations 0 1 2 47 1 2 10 183
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 3 10 90 1 5 16 271
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 3 82 0 0 7 247
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 0 2 72
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 13 0 0 1 42
Comparison of unit root tests for time series with level shifts 0 1 1 4 2 3 4 22
Data†Driven Identification Constraints for DSGE Models 0 0 0 5 0 0 0 52
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 1 1 69 0 1 2 162
Forecasting realized exchange rate volatility by decomposition 0 0 0 37 7 9 30 171
GMM Estimation of Non-Gaussian Structural Vector Autoregression 0 1 2 3 2 8 17 30
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 0 3 85
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 1 1 3 31 1 3 18 138
Has US inflation really become harder to forecast? 0 0 0 12 0 0 0 59
Identification and estimation of non-Gaussian structural vector autoregressions 0 2 8 23 1 6 22 122
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 1 1 6 0 1 3 13
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 0 1 11 497
Identifying Monetary Policy Shocks via Changes in Volatility 0 1 5 6 0 2 10 16
Joint modeling of call and put implied volatility 0 0 0 31 1 1 3 141
Modeling Conditional Skewness in Stock Returns 0 0 2 54 0 0 5 218
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 0 148
NONCAUSAL VECTOR AUTOREGRESSION 0 0 0 75 2 2 5 225
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 0 0 0 174
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 0 3 356 0 0 5 1,886
Near unit roots, cointegration, and the term structure of interest rates 0 0 0 383 0 1 4 954
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 1 3 727
Noncausal Autoregressions for Economic Time Series 0 3 9 119 1 4 17 276
Noncausal Bayesian Vector Autoregression 0 0 0 2 0 0 1 13
Noncausality and inflation persistence 1 1 1 10 1 1 4 60
Nonlinear dynamics of interest rate and inflation 0 0 0 0 0 0 3 5
Nonlinear dynamics of interest rate and inflation 0 0 0 174 0 0 3 442
Optimal forecasting of noncausal autoregressive time series 0 1 2 52 0 1 6 132
Overnight stock returns and realized volatility 1 1 4 25 2 4 11 150
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 2 2 22 0 2 2 120
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 1 95
Robustness of the risk-return relationship in the U.S. stock market 0 0 1 27 0 0 1 131
Structural Vector Autoregressions With Nonnormal Residuals 0 0 1 73 1 1 4 228
Structural vector autoregressions with Markov switching 0 2 18 367 4 9 48 825
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 1 11 0 0 2 40
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 2 3 200 2 6 9 544
Testing The Predictability Of Stock Returns 0 2 3 288 0 2 5 665
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 0 20 0 0 1 81
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 2 4
The effect of a transaction tax on exchange rate volatility 0 0 0 75 0 0 2 244
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 0 0 211
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 1 45 0 0 8 276
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 0 2 316
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 87 0 0 0 170
Total Journal Articles 3 27 91 3,840 29 79 324 12,347

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Statistics updated 2022-09-05