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 0 0 0 252 0 0 0 669
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 1 47 0 0 1 148
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 0 0 0 332
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 0 66 0 1 1 111
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 960 0 0 2 2,273
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 1 158 0 0 2 315
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 1 212 0 2 6 877
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 0 0 3 153
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 54 0 0 0 131
Comparison of Unit Root Tests for Time Series with Level Shifts 1 1 1 15 2 3 5 58
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 0 0 682
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 3 107 1 3 8 176
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 1 1 2 49 1 2 3 133
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 1 2 60 1 3 4 81
Forecasting Realized Volatility by Decomposition 0 0 0 248 0 0 0 562
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 0 46 0 1 6 107
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 1 2 7 318 1 4 25 756
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 1 2 2 102 1 2 3 199
Identifying Monetary Policy Shocks via Changes in Volatility 0 2 4 186 0 2 4 364
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 197 0 0 2 422
Implied Volatility with Time-Varying Regime Probabilities 0 0 1 15 0 0 2 118
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 3 143 1 1 4 209
Joint Modeling of Call and Put Implied Volatility 0 1 2 135 0 1 2 650
Modeling Conditional Skewness in Stock Returns 0 0 1 383 0 0 1 1,122
Modeling Expectations with Noncausal Autoregressions 0 0 0 49 0 0 3 126
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 0 1 356
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 0 649
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 0 34 0 0 0 196
Noncausal Bayesian Vector Autoregression 0 0 0 158 0 0 0 148
Noncausal Vector Autoregression 0 0 2 99 0 0 6 219
Noncausal autoregressions for economic time series 0 0 1 89 0 0 4 272
Noncausal vector autoregression 0 0 0 87 0 0 4 242
Noncausality and Inflation Persistence 0 0 0 57 0 0 4 141
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 1 1 2 391
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 1 1 3 97
Nonlinear dynamics of interest rate and inflation 0 0 4 365 0 1 7 786
Nonlinear dynamics of interest rate and inflation 0 0 1 63 0 2 5 182
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 1 90 0 0 3 187
Realized volatility and overnight returns 0 0 1 126 0 0 4 299
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 0 0 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 2 387
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 0 1 368
Structural Vector Autoregressions with Markov Switching 1 3 5 299 2 4 7 554
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 240 1 1 2 647
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 0 1 394
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 1 63
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 0 3,623
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 0 1 560
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 1 2 187
Testing for predictability in a noninvertible ARMA model 0 0 0 73 0 0 1 145
Testing the Predictability of Stock Returns 0 0 0 1 1 2 3 608
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 0 118
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 24 0 0 1 138
The effect of a transaction tax on exchange rate volatility 0 0 0 76 0 0 1 291
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 1 4 561
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 42 0 0 2 672
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 1 167 0 0 1 623
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 0 0 58 0 0 0 300
Total Working Papers 5 13 49 8,594 15 39 160 26,890

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 0 198
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 1 164 0 0 4 356
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 2 14 0 1 7 54
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 0 0 1 17
A naïve sticky information model of households' inflation expectations 1 1 2 49 1 1 4 188
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 2 93 0 1 9 282
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 0 83 1 3 4 253
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 1 1 73
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 13 0 0 0 42
Comparison of unit root tests for time series with level shifts 0 0 0 4 1 1 1 25
Data†Driven Identification Constraints for DSGE Models 0 1 1 6 0 1 2 54
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 70 0 1 2 165
Forecasting realized exchange rate volatility by decomposition 0 0 0 37 0 0 35 215
GMM Estimation of Non-Gaussian Structural Vector Autoregression 1 2 5 13 5 13 23 60
GMM Estimation with Non‐causal Instruments 0 1 2 19 0 2 3 88
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 5 38 1 3 19 161
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 1 4 9 34 1 6 22 148
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 1 1 8 0 1 2 16
Identifying Monetary Policy Shocks via Changes in Volatility 0 1 6 13 0 2 11 30
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 1 2 17 520
Joint modeling of call and put implied volatility 0 0 0 31 0 0 0 141
Modeling Conditional Skewness in Stock Returns 0 0 0 55 1 1 3 223
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 0 148
NONCAUSAL VECTOR AUTOREGRESSION 0 1 5 81 0 1 6 233
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 1 1 359 0 1 3 1,891
Near unit roots, cointegration, and the term structure of interest rates 0 1 2 385 0 1 3 957
Non-linear GARCH models for highly persistent volatility 0 0 0 261 1 1 3 731
Noncausal Autoregressions for Economic Time Series 0 1 6 125 1 4 22 299
Noncausal Bayesian Vector Autoregression 0 0 1 3 0 0 3 16
Noncausality and inflation persistence 0 0 0 10 2 2 3 64
Nonlinear dynamics of interest rate and inflation 0 0 0 174 0 1 2 445
Nonlinear dynamics of interest rate and inflation 0 0 1 1 0 0 1 7
Optimal forecasting of noncausal autoregressive time series 0 0 2 55 0 0 4 139
Overnight stock returns and realized volatility 0 1 2 27 0 2 7 158
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 2 3 4 124
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 1 1 96
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 0 0 0 131
Structural Vector Autoregressions With Nonnormal Residuals 1 1 1 75 1 1 1 230
Structural vector autoregressions with Markov switching 1 2 16 387 5 9 41 876
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 0 1 1 41
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 202 1 2 3 548
Testing The Predictability Of Stock Returns 0 1 1 289 0 3 8 674
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 21 1 1 2 83
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 2 247
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 2 2 2 213
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 45 0 0 2 278
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 0 0 316
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 1 172
Total Journal Articles 5 21 77 3,942 28 76 295 12,717

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Total Chapters 0 0 0 0 0 0 0 0
1 registered items for which data could not be found
logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2023-12-04